Keywords: 62F12; 62J12Generalized linear model; Penalized likelihood estimation; Oracle property; SCAD penalty; Selection consistency
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Keywords: 62M05; 62F12; 60J10EDC; BIC; AIC; Order estimation; BEKK-GARCH
Keywords: 62F12; 62H12; 62J07Covariance matrix; Factor model; High dimension; Large sample; Non-normal distribution; Normal distribution; Portfolio management; Ridge-type estimator; Risk function
Keywords: 62F10; 62F12; Closed-form estimation; Consistency; General Gaussian estimation; Kullback-Leibler information number; Optimality condition; Poisson-Lognormal model;
Keywords: 62J02; 62F12; Canonical correlation analysis; Elastic net penalty; Elliptical distribution; Kendall's tau; Optimal rate of convergence; Variables transformation;
On APF test for Poisson process with shift and scale parameters
Keywords: 62F03; 62F05; 62F12; 62G10; 62G20; Inhomogeneous Poisson process; Parametric basic hypothesis; Cramér-von Mises test; Asymptotically parameter free test; Scale and shift parameters;
A note on a network model with degree heterogeneity and homophily
Keywords: 62E20; 62F12; Central limit theorem; Maximum likelihood estimation; Network data;
An RKHS-based approach to double-penalized regression in high-dimensional partially linear models
Keywords: 62G08; 62G20; 62F12; 62J07; Eigen-analysis; High-dimensional data; Oracle property; Partially linear model; Representer theorem; Reproducing kernel Hilbert space; Sacks-Ylvisaker conditions; SCAD (smoothly clipped absolute deviation) penalty;
Asymptotic performance of PCA for high-dimensional heteroscedastic data
Keywords: 62H25; 62H12; 62F12; Asymptotic random matrix theory; Heteroscedasticity; High-dimensional data; Principal component analysis; Subspace estimation;
Semimartingale: Itô or not ?
Keywords: primary; 62F12; 62M05; secondary; 60H10; 60J60; Semimartingale; Itô; Discrete sampling; High frequency; Absolute continuity; Cantor set;
Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations
Keywords: 60H10; 91G70; 60F05; 62F12; Jump-type Cox-Ingersoll-Ross (CIR) process; Basic affine jump-diffusion (BAJD); Subordinator; Maximum likelihood estimator;
Inference of progressively censored competing risks data from Kumaraswamy distributions
Keywords: 62F10; 62F12; Kumaraswamy distribution; Competing risks; Progressive censoring; Maximum likelihood estimation; Bayesian estimation; Monte-Carlo simulation;
Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises
Keywords: 60G52; 62F12; CIR model; α-stable; Small noises; Maximum likelihood type estimation;
Asymptotic Fisher information matrix of Markov switching VARMA models
Keywords: 62B10; 62F12; 62M02; 62M10; Time series with changes in regime; Information matrix computation; Markov switching VARMA; Asymptotic covariance matrix; Gaussian maximum likelihood estimator;
Least squares estimator of fractional Ornstein-Uhlenbeck processes with periodic mean
Keywords: 62F12; 60G15; Fractional Ornstein-Uhlenbeck processes; Least squares estimator; Malliavin calculus;
Least squares estimators for stochastic differential equations driven by small Lévy noises
Keywords: primary; 62F12; 62M05; secondary; 60G52; 60J75; Asymptotic distribution; Consistency; Discrete observations; Least squares method; Stochastic differential equations; Parameter estimation;
Maximum likelihood inference for the multivariate tt mixture model
Keywords: 62F05; 62F12; 62F40Degrees of freedom; Information matrix; Multivariate tt distribution; Robust sandwich estimator; Score vector
Finite sampling inequalities: An application to two-sample Kolmogorov-Smirnov statistics
Keywords: 60F15; 60F17; 62E20; 62F12; 62G20; Bennett inequality; Finite sampling; Hoeffding inequality; Hypergeometric distribution; Two-samples; Kolmogorov-Smirnov statistics; Exponential bounds;
Bias correction of the Akaike information criterion in factor analysis
Keywords: 62E20; 62F12; 62H25Asymptotic bias; AIC; Covariance structure analysis; Exploratory factor analysis; Non-normality
Asymptotic expansions for the estimators of Lagrange multipliers and associated parameters by the maximum likelihood and weighted score methods
Keywords: 62E20; 62F12; 62F15One-sided confidence intervals; Asymptotic cumulants; Lagrange multipliers; Weighted score
Maximum likelihood estimation for Wishart processes
Keywords: 62F12; 44A10; 60F05; 91B70; Wishart processes; Laplace transform; Parameter inference; Maximum likelihood; Limit theorems; Local asymptotic properties;
Weak convergence of posteriors conditional on maximum pseudo-likelihood estimates and implications in ABC
Keywords: 62F12; 62Fxx; 65C60Approximate Bayesian computation; Bernstein–von Mises theorem; Weak convergence
L2 differentiability of generalized linear models
Keywords: 62F12; 62F35; Generalized linear models; L2-differentiability; Shape scale model; Time series model for shape;
Parametric transformed Fay–Herriot model for small area estimation
Keywords: 62F12; 62J05Asymptotically unbiased estimator; Box–Cox transformation; Dual power transformation; Fay–Herriot model; Linear mixed model; Mean squared error; Parametric bootstrap; Small area estimation
Efficient minimum distance estimator for quantile regression fixed effects panel data
Keywords: 62F12; 62J07; 62G35Minimum distance; Quantile regression; Panel data; Fixed effects
Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
Keywords: primary; 62F12; 62M05; secondary; 60J80; 60G52; Stable Cox-Ingersoll-Ross model; Conditional least squares estimators; Weighted conditional least squares estimators; Branching process with immigration; Exponential ergodicity; Strong mixing property;
A new adjusted maximum likelihood method for the Fay–Herriot small area model
Keywords: 62F12; 62J99Empirical Bayes; Linear mixed model; Profile likelihood; Residual likelihood; Shrinkage
Model determination and estimation for the growth curve model via group SCAD penalty
Keywords: primary; 62H12; secondary; 62F12; 62H07; Degree of polynomial profile form; Growth curve model; Least squares estimation; Oracle property; SCAD penalty; Three-level variable selection;
Consistency, bias and efficiency of the normal-distribution-based MLE: The role of auxiliary variables
Keywords: 62H12; 62F12; 62H05Asymptotics; Monte Carlo; Nonnormally distributed population; Not missing at random
A robust extension of the bivariate Birnbaum–Saunders distribution and associated inference
Keywords: 62-XX; 62Fxx; 62F10; 62F12; 62F35Bivariate Birnbaum–Saunders distribution; EM-algorithm; Kurtosis; Maximum likelihood method; Robust estimation; Scale mixtures of normal distributions
Minimax optimal estimation of general bandable covariance matrices
Keywords: primary; 62H12; secondary; 62F12; 62G09; Adaptive minimax; Covariance matrix; Minimax optimal rates; Frobenius norm; Spectral norm; Tapering;
On the Bahadur representation of sample quantiles and order statistics for NA sequences
Keywords: 62F12; 62M10Bahadur representation; Sample quantile; Order statistics; Negatively associated sequence
Estimation of mean squared error of model-based estimators of small area means under a nested error linear regression model
Keywords: 62D99; 62F12; 62H10; 62J05; 62M20Conditional MSE; Empirical best (or Bayes) estimators; Weighted estimators
Constrained empirical Bayes estimator and its uncertainty in normal linear mixed models
Keywords: 62F12; 62F15; 62F40; 62J07Benchmarking; Best linear unbiased predictor; Constrained Bayes; Empirical Bayes; Linear mixed model; Mean squared error; Parametric bootstrap; Second-order approximation; Small area estimation
Information based model selection criteria for generalized linear mixed models with unknown variance component parameters
Keywords: 62J12; 62F12; 62F40Conditional Akaike information; Model selection; Parametric bootstrap; Variance component
Least squares estimators for discretely observed stochastic processes driven by small Lévy noises
Keywords: primary; 62F12; 62M05; secondary; 60G52; 60J75; Asymptotic distribution of LSE; Consistency of LSE; Discrete observations; Least squares method; Stochastic processes; Parameter estimation; Small Lévy noises;
Strong consistency of k-parameters clustering
Keywords: primary; 62H30; secondary; 62F12; Cluster analysis; Classification models; Elliptical models; Maximum likelihood estimation; Strong consistency;
On the convergence of the spectrum of finite order approximations of stationary time series
Keywords: 62M10; 62F12; 37M10; 60F25; 60G10; 60G99; 62J99Wide sense stationary time series; Autoregressive estimate; Moving average estimate; Spectral density; Wold decomposition; Time average variance constant
Further results on the hh-test of Durbin for stable autoregressive processes
Keywords: 62F03; 62F05; 62F12; 60G10; 60G42; 60G52; 62G05; 62M10Durbin–Watson statistic; Stable autoregressive process; Residual autocorrelation; Statistical test for serial correlation
Asymptotic consistency and inconsistency of the chain ladder
Keywords: C13; C18; G22; 62F12; 62P05; IM10; IM20; Claims reserving; Chain ladder; Asymptotic properties; Development factors;
Likelihood inference in small area estimation by combining time-series and cross-sectional data
Keywords: 62D99; 62F12; 62H10; 62M10; 62M20Autocorrelated errors; Bayesian computation; Hierarchical model; Prediction interval and exponential family; Random effect
Small area estimation using survey weights under a nested error linear regression model with structural measurement error
Keywords: 62D99; 62F12; 62F40; 62H10; 62J05; Bayes risk; Bootstrap method; Design consistency; Mean squared prediction error; Measurement error; Nested error regression model;
Theoretical and practical considerations on the convergence properties of the Fisher-EM algorithm
Keywords: 62H30; 62F12; 62H12; 62H25High-dimensional data; Model-based clustering; Discriminative subspace; Fisher-EM algorithm; Convergence properties
Simultaneous multiple response regression and inverse covariance matrix estimation via penalized Gaussian maximum likelihood
Keywords: 62H12; 62F12; 62J07GLASSO; Inverse covariance matrix estimation; Joint estimation; LASSO; Multiple response; Sparsity
Parametric bootstrap methods for bias correction in linear mixed models
Keywords: 62F40; 62J07; 62F12; 62F15Best linear unbiased predictor; Confidence interval; Empirical Bayes procedure; Fay–Herriot model; Second-order correction; Linear mixed model; Maximum likelihood estimator; Mean squared error; Nested error regression model; Para
Beyond simplified pair-copula constructions
Keywords: 62F12; 62H12; 62H20Conditional copulas; Kendall’s tau; Local likelihood; Pair-copula constructions; Ranks; Vines
Combining quasi and empirical likelihoods in generalized linear models with missing responses
Keywords: 62F12; 62F30; 62G10Auxiliary information; Combined quasi and empirical likelihood; Generalized linear models; Missing responses; Wilks’ theorem
A remark on the Bahadur representation of sample quantiles for negatively associated sequences
Keywords: Primary; 62F12; Secondary; 62M10; Bahadur representation; Sample quantile; Negatively associated random variables;
Preliminary test estimation for spectra
Keywords: 62F12; 62M15; ARMA model; Preliminary test; Quasi-maximum likelihood estimator; Spectral density; Stationary linear process;
Estimation of the offspring mean in a supercritical branching process with non-stationary immigration
Keywords: primary; 60J80; secondary; 62F12; 60G99; Supercritical branching process; Time-dependent immigration; Offspring mean; Weighted estimator; Consistency;