-
作者：Whiteley, Nick; Lee, Anthony
作者单位：University of Bristol; University of Warwick
摘要：We investigate sampling laws for particle algorithms and the influence of these laws on the efficiency of particle approximations of marginal likelihoods in hidden Markov models. Among a broad class of candidates we characterize the essentially unique family of particle system transition kernels which is optimal with respect to an asymptotic-in-time variance growth rate criterion. The sampling structure of the algorithm defined by these optimal transitions turns out to be only subtly different...
-
作者：Zhou, Zhou
作者单位：University of Toronto
摘要：We investigate the behavior of Fourier transforms for a wide class of nonstationary nonlinear processes. Asymptotic central and noncentral limit theorems are established for a class of nondegenerate and degenerate weighted V-statistics through the angle of Fourier analysis. The established theory for V-statistics provides a unified treatment for many important time and spectral domain problems in the analysis of nonstationary time series, ranging from nonparametric estimation to the inference ...
-
作者：Bai, Jushan; Li, Kunpeng
作者单位：Columbia University; Capital University of Economics & Business; Tsinghua University
摘要：This paper considers the maximum likelihood estimation of panel data models with interactive effects. Motivated by applications in economics and other social sciences, a notable feature of the model is that the explanatory variables are correlated with the unobserved effects. The usual within-group estimator is inconsistent. Existing methods for consistent estimation are either designed for panel data with short time periods or are less efficient. The maximum likelihood estimator has desirable...
-
作者：Cholaquidis, Alejandro; Cuevas, Antonio; Fraiman, Ricardo
作者单位：Universidad de la Republica, Uruguay; Autonomous University of Madrid
摘要：A domain S subset of R-d is said to fulfill the Poincare cone property if any point in the boundary of S is the vertex of a (finite) cone which does not otherwise intersects the closure (S) over bar. For more than a century, this condition has played a relevant role in the theory of partial differential equations, as a shape assumption aimed to ensure the existence of a solution for the classical Dirichlet problem on S. In a completely different setting, this paper is devoted to analyze some s...
-
作者：Lepski, Oleg; Serdyukova, Nora
作者单位：Aix-Marseille Universite; Universidad de Concepcion
摘要：The problem of adaptive multivariate function estimation in the single-index regression model with random design and weak assumptions on the noise is investigated. A novel estimation procedure that adapts simultaneously to the unknown index vector and the smoothness of the link function by selecting from a family of specific kernel estimators is proposed. We establish a pointwise oracle inequality which, in its turn, is used to judge the quality of estimating the entire function (global oracle...
