No Arabic abstract
It is shown how tools from the area of Model Theory, specifically from the Theory of o-minimality, can be used to prove that a class of functions is VC-subgraph (in the sense of Dudley, 1987), and therefore satisfies a uniform polynomial metric entropy bound. We give examples where the use of these methods significantly improves the existing metric entropy bounds. The methods proposed here can be applied to finite dimensional parametric families of functions without the need for the parameters to live in a compact set, as is sometimes required in theorems that produce similar entropy bounds (for instance Theorem 19.7 of van der Vaart, 1998).
A Bayesian nonparametric estimator to entropy is proposed. The derivation of the new estimator relies on using the Dirichlet process and adapting the well-known frequentist estimators of Vasicek (1976) and Ebrahimi, Pflughoeft and Soofi (1994). Several theoretical properties, such as consistency, of the proposed estimator are obtained. The quality of the proposed estimator has been investigated through several examples, in which it exhibits excellent performance.
This paper aims at providing statistical guarantees for a kernel based estimation of time varying parameters driving the dynamic of local stationary processes. We extend the results of Dahlhaus et al. (2018) considering the local stationary version of the infinite memory processes of Doukhan and Wintenberger (2008). The estimators are computed as localized M-estimators of any contrast satisfying appropriate contraction conditions. We prove the uniform consistency and pointwise asymptotic normality of such kernel based estimators. We apply our result to usual contrasts such as least-square, least absolute value, or quasi-maximum likelihood contrasts. Various local-stationary processes as ARMA, AR(infty), GARCH, ARCH(infty), ARMA-GARCH, LARCH(infty),..., and integer valued processes are also considered. Numerical experiments demonstrate the efficiency of the estimators on both simulated and real data sets.
We find limiting distributions of the nonparametric maximum likelihood estimator (MLE) of a log-concave density, that is, a density of the form $f_0=expvarphi_0$ where $varphi_0$ is a concave function on $mathbb{R}$. The pointwise limiting distributions depend on the second and third derivatives at 0 of $H_k$, the lower invelope of an integrated Brownian motion process minus a drift term depending on the number of vanishing derivatives of $varphi_0=log f_0$ at the point of interest. We also establish the limiting distribution of the resulting estimator of the mode $M(f_0)$ and establish a new local asymptotic minimax lower bound which shows the optimality of our mode estimator in terms of both rate of convergence and dependence of constants on population values.
We study a panel data model with general heterogeneous effects where slopes are allowed to vary across both individuals and over time. The key dimension reduction assumption we employ is that the heterogeneous slopes can be expressed as having a factor structure so that the high-dimensional slope matrix is low-rank and can thus be estimated using low-rank regularized regression. We provide a simple multi-step estimation procedure for the heterogeneous effects. The procedure makes use of sample-splitting and orthogonalization to accommodate inference following the use of penalized low-rank estimation. We formally verify that the resulting estimator is asymptotically normal allowing simple construction of inferential statements for {the individual-time-specific effects and for cross-sectional averages of these effects}. We illustrate the proposed method in simulation experiments and by estimating the effect of the minimum wage on employment.
Let $pi_1$ and $pi_2$ be two independent populations, where the population $pi_i$ follows a bivariate normal distribution with unknown mean vector $boldsymbol{theta}^{(i)}$ and common known variance-covariance matrix $Sigma$, $i=1,2$. The present paper is focused on estimating a characteristic $theta_{textnormal{y}}^S$ of the selected bivariate normal population, using a LINEX loss function. A natural selection rule is used for achieving the aim of selecting the best bivariate normal population. Some natural-type estimators and Bayes estimator (using a conjugate prior) of $theta_{textnormal{y}}^S$ are presented. An admissible subclass of equivariant estimators, using the LINEX loss function, is obtained. Further, a sufficient condition for improving the competing estimators of $theta_{textnormal{y}}^S$ is derived. Using this sufficient condition, several estimators improving upon the proposed natural estimators are obtained. Further, a real data example is provided for illustration purpose. Finally, a comparative study on the competing estimators of $theta_{text{y}}^S$ is carried-out using simulation.