YoungStatS
The blog of Young Statisticians Europe (YSE)
time-series
Reconciling the Gaussian and Whittle Likelihood with an application to estimation in the frequency domain
Junho Yang and Suhasini Subba Rao
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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
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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…