time-series

Reconciling the Gaussian and Whittle Likelihood with an application to estimation in the frequency domain

Junho Yang and Suhasini Subba Rao / 2022-01-06

Suppose \(\{X_t: t\in \mathbb{Z}\}\) is a second order stationary time series where \(c(r) = \text{cov}(X_{t+r},X_t)\) and \(f(\omega) = \sum_{r\in\mathbb{Z}}c(r)e^{ir\omega}\) are the corresponding autocovariance and spectral density function, respectively. For notational convenience, we assume the…

webinars

Novel Algebraic Approaches to Maximum Likelihood Estimation

2021-10-04

Novel Algebraic Approaches to Maximum Likelihood Estimation The seventh “One World webinar” organized by YoungStatS will take place on November 17th, 2021. Maximum likelihood estimation (MLE) is a tool in data analysis to estimate a probability distribution or density in a statistical model for…

machine-learning

Higher Order Targeted Maximum Likelihood Estimation

Zeyi Wang and Mark van der Laan / 2021-03-10

Summary We propose a higher order targeted maximum likelihood estimation (TMLE) that only relies on a sequentially and recursively defined set of data-adaptive fluctuations. Without the need to assume the often too stringent higher order pathwise differentiability, the method is practical for…