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Quotient of estimators

Say $A$ is a set of a finite number of samples, and $\hat{\mu}_A$ and $\hat{\sigma}_A$ are unbiased estimators (computed over $A$) of $\mu$ and $\sigma$ which are some distinct population statistics. ...
CWC's user avatar
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conjecture for general form of minimax estimator

I had previously posed an overly ambitious version of this conjecture here, Form of minimax estimator, which was quickly shot down by Václav Voráček (on twitter) and Iosif Pinelis (MO answer in the ...
Aryeh Kontorovich's user avatar
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1 answer
321 views

Form of minimax estimator

Let $\Delta$ be the set of all probability distributions over $\mathbb{N}=\{1,2,\ldots\}$ and fix some $\mathcal{P}\subseteq\Delta$. Suppose additionally that $\Delta$ is endowed with some norm $||\...
Aryeh Kontorovich's user avatar
1 vote
0 answers
80 views

Estimate for the gradient of solutions in an elliptic differential equation in a Sobolev space

Let $\Omega$ be a bounded or unbounded domain in $\mathbf R^{3}$ with a smooth boundary $S$ and a normal vector given by $n$. Now, we consider the following second-order elliptic problem with Neumann ...
Javier Gargiulo's user avatar
1 vote
0 answers
55 views

Parameter estimation of a Taylor expansion

Let $a,b$ two real numbers, $\theta$ a real parameter and suppose that you have an analytic function of the form: $$ f_\theta(x)\triangleq \sum_{k\in\mathbb{N}}a_k(\theta)x^k \quad\forall x\in[a,b], $$...
NancyBoy's user avatar
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1 answer
457 views

Derivative of log-likelihood function for Gaussian distribution with parameterized variance

Suppose we have a parameter $\theta \in R^{n}$ that defines some noisy observation $z=\mu(\theta)+\eta, z\in R^{m}$ where the noise follows a Gaussian distribution whose covariance is a function of ...
JNL's user avatar
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7 votes
1 answer
343 views

Singular Fisher information matrix and existence of unbiased estimators

I'm doing some research into the Cramer-Rao bound for time of arrival localization and have come across a rather strange result: the FIM is singular, but there exists an unbiased estimator. My ...
JNL's user avatar
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Estimation of Nonzero Coefficients of Binary Cylotomic Polynomials

I am reading Fouvry's paper https://msp.org/ant/2013/7-5/ant-v7-n5-p07-p.pdf . I am still confused on section 4.2 why $P\leq x^{\frac{20}{9}\gamma -\frac{2}{3}}\mathcal{L}^{-16}$ leads to estimate in ...
Laurence PW's user avatar
2 votes
0 answers
82 views

A complex problem involving densities (likelihood functions) and optimization

Consider the following autoregressive process with normal errors: \begin{equation}\label{7YlUV4i8nuO}\tag{I} y_t = \phi y_{t-1}+ u_t, \quad u_t \overset{iid}{\sim} N(0,\sigma^2) \end{equation} We ...
PSE's user avatar
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4 votes
2 answers
260 views

Generalization of van der Corput's estimate on oscillatory integrals

Question: Given exponents $0<\alpha<\beta$ and an interval $[a,b]\subset(0,\infty)$ are there constants $C,d>0$ such that for any $\lambda_1,\lambda_2\in\mathbb{R}$, $$\left|\int_a^be(\...
Joel Moreira's user avatar
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Functional approximation with derivatives

I am trying to solve a functional approximation problem. Consider a set of measurements of a d-dimensional state $\mathrm x \in \mathbb{R}^d$, together with velocities $\dot{\mathrm x}$ and ...
can't stop me now's user avatar
2 votes
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109 views

Comparing the truncated $\ell^{1}$-norm of polynomial coefficients with the supremum norm on the unit disc

Let $p=a_{0}+a_{1}z+\ldots+a_{n}z^{n}$ be a polynomial. Consider the following truncated $\ell^{1}$-seminorm of the coefficients of $p$: $$\|p\|_{\ell^{1},\text{trun.}}:=\sum_{k=1}^{n}|a_{k}|=\|p-a_{0}...
Calculix's user avatar
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1 answer
117 views

DKW inequality for $L^1$-norm

Suppose that $X,X_1,X_2,X_3\dots$ is a sequence of $\mathbb{P}$-i.i.d. random variables supported in the interval $[0,1]$. Let $F$ be the cumulative distribution of $X$, i.e. $F(x):=\mathbb{P}[X \le x]...
Bob's user avatar
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70 views

Is the Kalman Filter computationally optimal for Kalman filtering?

Kalman filtering is known to be a recursive process that minimizes mean square error in linear problems. My question is: has anybody shown that this algorithm is computationally optimal, i.e. that you ...
Diego Méndez's user avatar
3 votes
1 answer
309 views

A problem of using Schauder estimate in the paper of Yau's proof of calabi conjecture

[This question is looking at the paper Yau, S.-T., On The Ricci Curvature of a Compact Kähler Manifold and the Complex Monge-Ampére Equation, I, Comm. Pure Appl. Math., 31 (1978) 339-411, doi:10.1002/...
Elio Li's user avatar
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Estimatives for elliptic systems involving the laplacian

Considering the problem \begin{equation} \left\{ \begin{array}[c]{11} \Delta(\Delta \chi -\chi) = 0 & \text{in } \Omega, \\ \Delta \chi -\chi = h_2 - h_1, & \text{on } \partial\Omega \\ \end{...
Bruno Mascaro's user avatar
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0 answers
89 views

Maximum likelihood estimator for power law with negative exponent

Background I have data that roughly follows a power law with a negative exponent (up to a point; also, the parameters of the "fit" were just guesstimated by eye as a demonstration): Now I ...
mapf's user avatar
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Correlating two matrices $A,B$ with stochastic dependency structure imposed by cross-validation

Consider a labelled data set $$D = \{(x_1, y_1),...,(x_n, y_n)\} $$ on which we want to evaluate a machine learning algorithm using $k$-fold cross validation with $m$ different random seeds. This ...
Joker123's user avatar
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0 answers
128 views

How to estimate sums over arithmetic progressions?

For $x>1$ $$ N(x)=\sum_{0<n<x \\n \equiv 1 \pmod 4\\ n\text{ squarefree}} 1 $$ How to estimate $N(x)$'s order? (Like $N(x) \sim Ax$) Furthermore, for $n=p_1p_2\cdots p_v$, define $\alpha (n)=...
five's user avatar
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4 votes
1 answer
282 views

What journal(s) do you recommend for submitting a paper on a topic that spans information theory and estimation theory?

I've written a paper that a) demonstrates an equivalence between conditional complexity $K$($Y$|$X$) in information theory and the random component of an effect size estimate $r_{xy}$, and then b) ...
virtuolie's user avatar
  • 173
1 vote
1 answer
92 views

Estimating the average of two gaussians' mean with minimal squared error

This is a follow-up to my previous question. Assume that $X\sim \mathcal N(\mu_1,\sigma_1^2)$ and $Y\sim \mathcal N(\mu_2,\sigma_2^2)$. I want to estimate $\frac{\mu_1+\mu_2}{2}$ after observing $X,Y$....
R B's user avatar
  • 608
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1 answer
641 views

Estimating the average of two gaussians' mean

Assume that $X\sim \mathcal N(\sigma_1,\mu_1)$ and $Y\sim \mathcal N(\sigma_2,\mu_2)$. I want to estimate $\frac{\mu_1+\mu_2}{2}$ after observing $X,Y$. In my setting, $\sigma_1,\sigma_2$ are known ...
R B's user avatar
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2 votes
0 answers
218 views

Sobolev (Triebel-Lizorkin) norm estimate for $F \circ u - F \circ v$

Let $F \in C^1(\mathbb R^d;\mathbb R)$ be such that $F(0) = 0$ and $$|F'(\tau v + (1 - \tau)w)| \leq \mu(\tau)(G(v) + G(w))$$ for some $\mu \in L^1([0,1])$ and some non-negative $G \in C^0(\mathbb R^d;...
Desura's user avatar
  • 211
4 votes
1 answer
332 views

Showing that $\sum_{n=0}^\infty (4n+1)q^{\left (\frac{4n+1}{2}\right)^2} - \sum_{n=1}^\infty (4n-1)q^{\left (\frac{4n-1}{2}\right)^2} \geq 0.1$

Recently I came along the following problem concerning a lower bound on the difference of two series: I want to show that for every $q \in [e^{-2},e^{-\frac{1}{2}}]$ we have $$ f(q) := \sum_{n=0}^\...
J. Swail's user avatar
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0 answers
80 views

Calculating the mean squared error for an estimate of a large sum

Consider the set of all Boolean function $f: \{0, 1\}^{n} \rightarrow \{-1, 1\}$. Now, let's pick a function uniformly at random from this set. Let $F$ be the random variable corresponding to the ...
RandomMatrices's user avatar
2 votes
0 answers
64 views

Distribution of unbiased estimator of covariance matrix with missing values

Initial setup Assuming $X_1, ..., X_n \in \mathbb{R}^m$ are iid, sampled from $\mathcal{N}(\mu, V)$, one can define the estimators for the sample mean $\hat{\mu} = \frac{1}{n} := X^T 1_n$, and sample ...
user43389's user avatar
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2 votes
0 answers
108 views

L1 error of estimators

I came across the following problem and I have no clue how to approach it. I am looking for help with directions or references. Consider the $\alpha$-stable distribution with unknown true mean $\mu$, ...
Robert's user avatar
  • 173
0 votes
1 answer
116 views

How to detect, track and map a Markov chain

You are receiving a time series whose elements belong to a finite set. Assume the time series is distributed as a Discrete-Time Markov Chain. You receive one element at each time step. For each time ...
Diego Méndez's user avatar
2 votes
0 answers
137 views

'Contraction-like' inequality: how to deal with the boundary term?

I am interested in the following problem. Let $D = \mathrm{diag}(d_1, d_2, \ldots, d_n) \in \mathbb{R}^n$ be positive definite, let $B, K \in \mathbb{R}^n$, and let $G\in L^\infty((0, T)\times (0, L);...
user344045's user avatar
2 votes
1 answer
231 views

Spline Interpolation error of higher degree

It is well-known that the interpolation error of a cubic spline has at best order $O(h^4)$, which results from polynomials of degree $3$. Can I assume that, if one uses polynomials of degree $p$ and ...
Astraeus's user avatar
1 vote
0 answers
70 views

Percentile interval Lemma

Let $\theta$ be a parameter and $\hat{\theta}$ the plug-in estimate, I need a proof of the following lemma, as given in [1], p. 173, in the form of a reference or of a direct argument: Percentile ...
Roberto Palermo's user avatar
1 vote
0 answers
68 views

Bootstrap-$t$ confidence intervals

I'm writing a dissertation about bootstrap methods and the main book I'm using is Efron, B., & Tibshirani, R.J. (1994), An Introduction to the Bootstrap (1st ed.), Chapman and Hall/CRC. Now I need ...
Roberto Palermo's user avatar
2 votes
1 answer
152 views

Stability estimates on quotients of the form $ \frac{\prod_{j=1}^n a_j}{\prod_{j=1}^n b_j} $

Suppose that $a_j,b_j \in \mathbb C$ are complex numbers, $j=1,\dots,n$, with the property that $|a_j|,|b_j| \geq c > d >0$ where $c,d$ are positive real numbers. I'm interested in the stability ...
Muzi's user avatar
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2 votes
0 answers
86 views

The optimality of Kalman filtering

It is known that the Kalman filter estimates the state of the following system recursively. $$x_{k+1}=Ax_k+w_k, \ \ w_k \sim \mathcal{N}(0,Q)$$ $$y_k=Cx_k+v_k, \ \ v_k \sim \mathcal{N}(0,W)$$ In the ...
Jing Zhou's user avatar
3 votes
1 answer
125 views

Design a random variable which has the maximal correlation with another random variable

$Y$ is a Gaussian distributed random variable with zero mean and known variance: $Y\sim N(0,\sigma_y)$. We measure $Y$ with a sensor, which is corrupted by white Gaussian noise: $Z=Y+V$; $V\sim N(0,\...
Jing Zhou's user avatar
6 votes
3 answers
627 views

How to estimate the integral involving the distance function

Let $\Omega\subset\mathbb{R}^n$ be an open bounded domain with smooth boundary. Consider the following integral: $$I(t)=\int_{\Omega}e^{-\frac{d^2(y,\partial\Omega)}{t}}{\rm d}y.$$ My problem is how ...
Houa's user avatar
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-1 votes
1 answer
165 views

How to combine estimator with different variances?

Consider independent random variables $X_1,X_2,\ldots,$ that have the same expectation $\mathbb x=\mathbb E[X_1]=\mathbb E[X_2]=\ldots$ Further, assume that we know that $Var[X_i]=\sigma_i^2$. In the ...
M A's user avatar
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1 vote
0 answers
110 views

How to retrieve back the input using Bussgang theorem?

If we have a non-linear function $f$, that is applied to input $x$, we have then the output $y=f(x)$ Using Bussgang decomposition we can linearize this nonlinearity and express $y$ as $y=Bx+ η$, ...
e. sfe's user avatar
  • 39
6 votes
1 answer
403 views

Probability of complex eigenvalues

I find this is the best site to post this question, even though I considered cs. It is a Monte Carlo experiment over the set of 10.000 n×n matrices. If a single matrix eigenvalue is complex then ...
prosti's user avatar
  • 171
3 votes
0 answers
110 views

Image restoration quality general lower bounds

A typical image restoration model posits that, starting from a true image $f = f(x,y)$, we observe $$ \tilde f = f \star h + n $$ where $\star$ is convolution, $h$ is the point spread function (caused,...
Elena Yudovina's user avatar
3 votes
0 answers
212 views

Proving the exponential decay of Green's function for the lattice $-\Delta+p$

The Green function $G(x,y) =G(x-y)$ of the discrete Klein-Gordon operator $-\Delta+p$ on $\mathbb{Z}^{d}$ is given by: \begin{eqnarray} G(x-y) = \int_{[-\pi,\pi]^{d}}\frac{d^{d}k}{(2\pi)^{d}}\frac{e^{...
MathMath's user avatar
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1 vote
0 answers
52 views

Estimation of parameters through multivariate Taylor expansion?

I do have a function $$f(t) = \prod\limits_{j=1}^{n} \left(1 + \sum\limits_{i=1}^{n} M_{i,j} t_i\right)^{-\alpha_{j}}$$ defined by parameters: $M_{i,j} \in \mathbb{R}_{+}, \;\forall i \in 1,...,d,\; ...
lrnv's user avatar
  • 668
-1 votes
1 answer
137 views

Sufficient conditions on $ a_i,b_i$ for $a_1\phi(n)+b_1, \cdots, a_k\phi(n)+b_k$ to be simultaneously prime infinitely often?

I am really interested in sufficient conditions on $a_i, b_i$ guaranteeing that the linear forms $a_1\phi(n)+b_1,\dots, a_k\phi(n)+b_k$ become simultaneously prime for infinitely many positive ...
zeraoulia rafik's user avatar
2 votes
0 answers
360 views

Extended Kalman Filter and its State Transition Matrix

Sorry for what might be a long post, I want to give background. Initially I had regular Kalman filter, and the state model was defined by Newtonian kinematics, with initial position 0 and speed of 2. ...
retarded_Question_asker's user avatar
1 vote
0 answers
61 views

Distances between up and down crosses in Gaussian Processes

Given a gaussian process $g := \mathcal{GP}\left(\mu, \Sigma \right)$, where $\mu$ is the mean and $\Sigma$ is the covariance function, I am interested in estimating the mean value $L_m$ of the ...
Kikolo's user avatar
  • 91
-2 votes
2 answers
409 views

Lower bound of q pochhammer symbol [closed]

How one could prove, that q pochhammer symbol $(1,1/n) = \prod_{k = 1}^{\infty}(1-\frac{1}{n^k}) \geq 1 - \frac{1}{n-1}$
Sergey Grigoryants's user avatar
1 vote
1 answer
164 views

Error metric for joint estimation of mean and variance

Background: Let $\mu:\mathbb{R}^n\to\mathbb{R}$ and $\sigma:\mathbb{R}^n\to\mathbb{R}_+$ be two unknown functions, and consider a stochastic model of the form $$ \mathbb{E}[Y\mid\mathbf{x}] = \mu(\...
guigux's user avatar
  • 607
5 votes
1 answer
99 views

Estimating the size of the remainder in a random partition

Pick a sequence of real numbers $x_i$ as follows. Put $x_0=1$. If $x_i$ is chosen, then pick $x_{i+1}\in[0, x_i]$ according to the uniform distribution. Obviously we have $x_i\rightarrow 0$ with ...
Jan-Christoph Schlage-Puchta's user avatar
-2 votes
1 answer
90 views

Existence or impossibility of Gaussian factory

Gaussian factory problem: given an iid sequence $x_i \sim \mathcal{N}(\mu,\sigma^2)$, $i=1,2,\dots$, with $\mu$ and $\sigma^2$ both unknown, construct a realization $y \sim \mathcal{N}(0,1)$.
Sebastian Nowozin's user avatar
0 votes
1 answer
50 views

Strict positive type function on hypersurface also of positive type in neighborhood?

Let $u\in C^\infty(\mathbb{R}^n\times\mathbb{R}^n)$ be symmetric and of strictly positive type on some hypersurface $S \subset \mathbb{R}^n$ diffeomorphic to $\{0\}\times\mathbb{R}^{n-1}$. This means ...
megggs's user avatar
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