All Questions

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 ...

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 ...

Let $f$ be a density on $[0,1]$ and let $X_1,X_2,\ldots$ be $\textit{iid}$ $f$-distributed. Also, let $f_n$ denote the kernel density estimator, i.e. $$f_n(x) = \frac{1}{nh_n} \sum_{i=1}^n K\left(\...

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 ...

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 ...