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We use several popular tests to test the validity of the Purchasing Power Parity (PPP) hypothesis. In particular, we analyze four classes of tests-standard univariate unit root tests, co-integration, panel unit root tests, and unit root tests for nonlinear ...
The loop series provides a formal way to write down corrections to the Bethe entropy (and/or free energy) of graphical models. We provide methods to rigorously control such expansions for low-density parity-check codes used over a highly noisy binary symme ...
We introduce Markov Decision Evolutionary Games with N players, in which each individual in a large population interacts with other randomly selected players. The states and actions of each player in an interaction together determine the instantaneous payo ...
In this thesis, we treat robust estimation for the parameters of the Ornstein–Uhlenbeck process, which are the mean, the variance, and the friction. We start by considering classical maximum likelihood estimation. For the simulation study, where we also in ...
We propose a nonparametric method for constructing multivariate kernels tuned to the configuration of the sample, for density estimation in R-d, d moderate. The motivation behind the approach is to break down the construction of the kernel into two parts: ...
The problem of estimating continuous-domain autoregressive moving-average processes from sampled data is considered. The proposed approach incorporates the sampling process into the problem formulation while introducing exponential models for both the cont ...
This work considers sampled data of continuous-domain Gaussian processes. We derive a maximum-likelihood estimator for identifying autoregressive moving average parameters while incorporating the sampling process into the problem formulation. The proposed ...
Classical peaks over threshold analysis is widely used for statistical modeling of sample extremes, and can be supplemented by a model for the sizes of clusters of exceedances. Under mild conditions a compound Poisson process model allows the estimation of ...
In prediction error identification, the information matrix plays a central role. Specifically, when the system is in the model set, the covariance matrix of the parameter estimates converges asymptotically, up to a scaling factor, to the inverse of the infor ...
We develop a novel sampling theorem on the sphere and corresponding fast algorithms by associating the sphere with the torus through a periodic extension. The fundamental property of any sampling theorem is the number of samples required to represent a ban ...
Institute of Electrical and Electronics Engineers2011
