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MATHICSE Technical Report: Eigenfunction martingale estimating functions and filtered data for drift estimation of discretely observed multiscale

Publications associées (60)

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Some first results on the consistency of spatial regression with partial differential equation regularization

Fabio Nobile, Eleonora Arnone

We study the consistency of the estimator in spatial regression with partial differential equa-tion (PDE) regularization. This new smoothing technique allows to accurately estimate spatial fields over complex two-dimensional domains, starting from noisy ob ...

2020

MATHICSE Technical Report : Drift Estimation of Multiscale Diffusions Based on Filtered Data

Assyr Abdulle, Giacomo Garegnani, Andrea Zanoni, Grigorios A. Pavliotis

We study the problem of drift estimation for two-scale continuous time series. We set ourselves in the framework of overdamped Langevin equations, for which a single-scale surrogate homogenized equation exists. In this setting, estimating the drift coeffic ...

EPFL2020

Wavelet-Based Moment-Matching Techniques for Inertial Sensor Calibration

Jan Skaloud, Stéphane Guerrier, Mehran Khaghani

The task of inertial sensor calibration has required the development of various techniques to take into account the sources of measurement error coming from such devices. The calibration of the stochastic errors of these sensors has been the focus of incre ...

2020

Generalized interpretation and identification of separable effects in competing event settings

Mats Julius Stensrud

In competing event settings, a counterfactual contrast of cause-specific cumulative incidences quantifies the total causal effect of a treatment on the event of interest. However, effects of treatment on the competing event may indirectly contribute to thi ...

2020

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Atomistic modeling of phase transitions, chemical reactions, or other rare events that involve overcoming high free energy barriers usually entails prohibitively long simulation times. Introducing a bias potential as a function of an appropriately chosen s ...

AMER CHEMICAL SOC2020

In this work, we show that uniform integrability is not a necessary condition for central limit theorems (CLT) to hold for normalized multilevel Monte Carlo (MLMC) estimators and we provide near optimal weaker conditions under which the CLT is achieved. In ...

2019

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This discussion focuses on areas of disagreement with the papers, particularly the target of inference and the case for using the robust 'sandwich' variance estimator in the presence of moderate mis-specification. We also suggest that existing procedures m ...

INST MATHEMATICAL STATISTICS2019

We propose an estimator for the mean of a random vector in Rd that can be computed in time O(n3.5 + n2d) for n i.i.d. samples and that has error bounds matching the sub-Gaussian case. The only assumptions we make about the data distribution are that it has ...

2018

Deep neural network training spends most of the computation on examples that are properly handled, and could be ignored. We propose to mitigate this phenomenon with a principled importance sampling scheme that focuses computation on "informative" examples ...

Idiap2018

In this paper we present a silicon photomultiplier (SiPM) readout system based on a field-programmable gate array (FPGA), which is capable of converting any commercial 16-channel analog SiPM array into a hybrid device with fully-digital readout for applica ...

2018