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Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
adaptive estimation asymptotic equivalence asynchronous ob-servations integrated covolatility matrix quadratic covariation semiparametric eciency,microstructure noise spectral estimation
2013/4/28
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high...
Multifidelity variance reduction for pick-freeze Sobol index estimation
Multifidelity variance reduction pick-freeze Sobol index estimation
2013/4/28
Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variabilit...
Generalizing k-means for an arbitrary distance matrix
Generalizing k-means an arbitrary distance matrix
2013/5/2
The original k-means clustering method works only if the exact vectors representing the data points are known. Therefore calculating the distances from the centroids needs vector operations, since the...
Efficient Reinforcement Learning for High Dimensional Linear Quadratic Systems
Efficient Reinforcement Learning High Dimensional Linear Quadratic Systems
2013/4/28
We study the problem of adaptive control of a high dimensional linear quadratic (LQ) system. Previous work established the asymptotic convergence to an optimal controller for various adaptive control ...
Heart Disease Prediction System using Associative Classification and Genetic Algorithm
Andhra Pradesh Associative classification Genetic algorithm Gini Index Z-Statistics
2013/5/2
Associative classification is a recent and rewarding technique which integrates association rule mining and classification to a model for prediction and achieves maximum accuracy. Associative classifi...
Variable Selection for Clustering and Classification
Classication Cluster analysis High-dimensional data Mixture models Model-based clus-tering Variable selection
2013/4/28
As data sets continue to grow in size and complexity, effective and efficient techniques are needed to target important features in the variable space. Many of the variable selection techniques that a...
On the optimality of the aggregate with exponential weights for low temperatures
aggregation empirical process Gaussian approximation Gibbs estimators
2013/4/28
Given a finite class of functions F, the problem of aggregation is to construct a procedure with a risk as close as possible to the risk of the best element in the class. A classical procedure (PAC-Ba...
Respondent privacy and estimation efficiency in randomized response surveys for discrete-valued sensitive variables
Jeopardy measure numerical stigmatizing variable revealing probability
2013/4/28
In some socio-economic surveys, data are collected on sensitive or stigmatizing issues such as tax evasion, criminal conviction, drug use, etc. In such surveys, direct questioning of respondents is no...
Moments of the Riesz distribution
Wishart distribution Riesz distribution random matrix,expectation variance-covariance matrix.
2013/4/28
This article derives the first two moments of the two versions of the Riesz distribution in the terms of their characteristic functions.
The Identification of Thresholds and Time Delay in Self-Exciting Threshold a Model by Wavelet
threshold autoregressive model threshold time delay wavelet
2013/5/2
In this paper we studied about the wavelet identification of the thresholds and time delay for more general case without the constraint that the time delay is smaller than the order of the model. Here...
Asymptotic Normality of Estimates in Flexible Seasonal Time Series Model with Weak Dependent Error Terms
seasonal time series model local linear estimates consistency and asymptotic
2013/5/2
In this paper we considered a general seasonal time series model with K-dependent and \rambda-dependent errors, which are new concepts of dependence. In this model we derived consistency and asymptoti...
Weighted estimation of the dependence function for an extreme-value distribution
bivariate extreme dependence function jackknife empirical likelihood method
2013/4/28
Bivariate extreme-value distributions have been used in modeling extremes in environmental sciences and risk management. An important issue is estimating the dependence function, such as the Pickands ...
Parameter estimation for pair-copula constructions
copulae efficiency empirical distribution functions hierarchical construction stepwise estimation vines
2013/4/28
We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its as...
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...
Estimation of the lead-lag parameter from non-synchronous data
contrast estimation discretely observed continuous-time processes Hayashi–Yoshida covariation estimator lead-lag effect
2013/4/28
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process $(X_t,Y_t)$ reproduces a lead-lag effect if, for some time shift $\va...