We introduce a new method of estimation of parameters in semiparametric and nonparametric models. The method is based U statistics that are based on higher order influence functions that extend ordinary linear influence functions of the parameter of interest, and represent higher derivatives of this parameter. For parameters for which the representation cannot be perfect the method often leads ...

It is perhaps more surprising that any method of estimating the time of infection by a single time point will result in the estimation of a biased distribution of incubation time. The exact resulting perturbation of the distribution is difficult to predict but plainly, for example, the variance will be overestimated, as the times subject to analysis will have one variance component in themselve...

In this paper, we propose a new componentwise estimator of a dispersion matrix, based on a highly robust estimator of scale. The key idea is the elimination of a location estimator in the dispersion estimation procedure. The robustness properties are studied by means of the influence function and the breakdown point. Further characteristics such as asymptotic variance and efficiency are also an...

The focus of this work is on the problem of tracking parameters describing both the Risk Neutral and the Objective measures over time with the aim of monitoring Value at Risk. The methodology presented incorporates information both from contingent claim prices over time as well as from the underlying instrument’s price over time in order to perform parameter estimation. The models adopted for t...

In this paper a new modified Cramer-Rao lower bound (MCRLB) for multipath time-delay estimation is developed for DS-CDMA systems. The lower variance bound of each estimated path delay is determined via computer simulations using the theoretical results, and it is compared with an efficient and practical delay estimation method, namely peak tracking with pulse subtraction. Simulation results sho...