Statistical Skorohod embedding problem: Optimality and asymptotic normality
نویسندگان
چکیده
منابع مشابه
Statistical Skorohod embedding problem and its generalizations
Given a Lévy process L, we consider the so-called statistical Skorohod embedding problem of recovering the distribution of an independent random time T based on i.i.d. sample from LT . Our approach is based on the genuine use of the Mellin and Laplace transforms. We propose consistent estimators for the density of T, derive their convergence rates and prove their optimality. It turns out that t...
متن کاملMonotone Martingale Transport Plans and Skorohod Embedding
We show that the left-monotone martingale coupling is optimal for any given performance function satisfying the martingale version of the Spence-Mirrlees condition, without assuming additional structural conditions on the marginals. We also give a new interpretation of the left monotone coupling in terms of Skorokhod embedding which allows us to give a short proof of uniqueness.
متن کاملHigh Dimensional Expectation-Maximization Algorithm: Statistical Optimization and Asymptotic Normality
We provide a general theory of the expectation-maximization (EM) algorithm for inferring high dimensional latent variable models. In particular, we make two contributions: (i) For parameter estimation, we propose a novel high dimensional EM algorithm which naturally incorporates sparsity structure into parameter estimation. With an appropriate initialization, this algorithm converges at a geome...
متن کاملHigh Dimensional EM Algorithm: Statistical Optimization and Asymptotic Normality
We provide a general theory of the expectation-maximization (EM) algorithm for inferring high dimensional latent variable models. In particular, we make two contributions: (i) For parameter estimation, we propose a novel high dimensional EM algorithm which naturally incorporates sparsity structure into parameter estimation. With an appropriate initialization, this algorithm converges at a geome...
متن کاملConsistency and Asymptotic Normality
The consistency and asymptotic normality of minimum contrast estimation (which includes the maximum likelihood estimation as a special case) is established if the sample is from a renewal process and the observation time tends to innnity. It is shown, that the conditions for consistency and asymptotic normality for maximum likelihood estimation are fulllled if the distribution of the time betwe...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2015
ISSN: 0167-7152
DOI: 10.1016/j.spl.2015.05.015