搜索结果: 1-15 共查到“统计核算理论 stochastic”相关记录15条 . 查询时间(0.181 秒)
Adapting the Stochastic Block Model to Edge-Weighted Networks
Adapting Stochastic Block Model Edge-Weighted Networks
2013/6/14
We generalize the stochastic block model to the important case in which edges are annotated with weights drawn from an exponential family distribution. This generalization introduces several technical...
Penalized importance sampling for parameter estimation in stochastic differential equations
Chronic wasting disease Euler-Maruyama scheme Maximum likelihood estimation Partially observed discrete sparse data Penalized importance sampling Stochastic di
2013/6/14
We consider the problem of estimating parameters of stochastic differential equations with discrete-time observations that are either completely or partially observed. The transition density between t...
On Approximation of the Backward Stochastic Differential Equation
Backward SDE approximation of the solution small noise asymptotics
2013/6/14
We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends ...
Accelerated Mini-Batch Stochastic Dual Coordinate Ascent
Accelerated Mini-Batch Stochastic Dual Coordinate Ascent
2013/6/14
Stochastic dual coordinate ascent (SDCA) is an effective technique for solving regularized loss minimization problems in machine learning. This paper considers an extension of SDCA under the mini-batc...
Moment based estimation of supOU processes and a related stochastic volatility model
generalized method of moments Ornstein-Uhlenbeck type process L
2013/6/14
After a quick review of superpositions of OU (supOU) processes, integrated supOU processes and the supOU SV model we estimate these processes by using the generalized method of moments. We show that t...
Adaptivity of averaged stochastic gradient descent to local strong convexity for logistic regression
Adaptivity averaged stochastic gradient descent local strong convexity logistic regression
2013/4/28
In this paper, we consider supervised learning problems such as logistic regression and study the stochastic gradient method with averaging, in the usual stochastic approximation setting where observa...
Statistical inference for discrete-time samples from affine stochastic delay differential equations
asymptotic normality composite likelihood consistency discrete time observation of continuous-time models prediction-based estimating functions pseudo-likelihood stochastic delay differential equation
2013/4/28
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to cal...
Almost sure convergence and asymptotical normality of a generalization of Kesten's stochastic approximation algorithm for multidimensional case
Kesten's stochastic approximation algorithm multidimensional
2011/6/20
It is shown the almost sure convergence and asymptotical normality of a generalization of
Kesten's stochastic approximation algorithm for multidimensional case.
In this generalization, the step incr...
A New Class of Backward Stochastic Partial Differential Equations with Jumps and Applications
Backward Stochastic Partial Differential Equations with Jumps High-Order Partial Differential Operator Vector Partial Differential Equation Existence and Uniqueness Random Environment
2011/6/21
We formulate a new class of stochastic partial differential equations (SPDEs), named
high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order
integral-partial differential o...
Limit theorems for multiple stochastic integrals
Stable convergence Weak convergence Independently scattered measure
2009/6/12
We show that the general stable convergence results proved in Peccati and Taqqu(2007)for generalized adapted stochastic integrals can be used to obtain limit theorems for multiple stochastic integrals...
Nonclassical stochastic flows and continuous products
stochastic flows continuous products noise stability sensitivity
2009/5/18
Contrary to the classical wisdom, processes with independent values (defined properly) are much more diverse than white noises combined with Poisson point processes, and product systems are much more ...
L1-Norm of Infinitely Divisible Random Vectors and Certain Stochastic Integrals
Infinitely divisible random variables stochastic integrals
2009/5/4
Equivalent upper and lower bounds for the L1 norm of Hilbert space valued infinitely divisible random variables are obtained and used to find bounds for different types of stochastic integrals.
Sharp maximal inequality for martingales and stochastic integrals
Martingale stochastic integral maximal function
2009/4/29
Let $X=(X_t)_{tgeq 0}$ be a martingale and $H=(H_t)_{tgeq 0}$ be a predictable process taking values in $[-1,1]$. Let $Y$ denote the stochastic integral of $H$ with respect to $X$. We show that $$ ||s...
A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand
stochastic fractional Brownian motion
2009/4/22
We give a new representation of fractional Brownian motion with Hurst parameter $Hleqfrac{1}{2}$ using stochastic partial differential equations. This representation allows us to use the Markov proper...
Sharp maximal inequality for martingales and stochastic integrals
martingales stochastic integrals
2009/4/22
Let $X=(X_t)_{tgeq 0}$ be a martingale and $H=(H_t)_{tgeq 0}$ be a predictable process taking values in $[-1,1]$. Let $Y$ denote the stochastic integral of $H$ with respect to $X$. We show that $$ ||s...