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Concept

Extremum estimator

Related publications (23)

Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective

Victor Panaretos, Leonardo Vincenzo Santoro, Neda Mohammadi Jouzdani

We consider the problem of nonparametric estimation of the drift and diffusion coefficients of a Stochastic Differential Equation (SDE), based on n independent replicates {Xi(t) : t is an element of [0 , 1]}13 d B(t), where alpha is an element of {0 , 1} a ...

Elsevier2024

Functional estimation of anisotropic covariance and autocovariance operators on the sphere

Victor Panaretos, Julien René Fageot, Matthieu Martin Jean-André Simeoni, Alessia Caponera

We propose nonparametric estimators for the second-order central moments of possibly anisotropic spherical random fields, within a functional data analysis context. We consider a measurement framework where each random field among an identically distribute ...

2022

Filtered data and eigenfunction estimators for statistical inference of multiscale and interacting diffusion processes

Andrea Zanoni

We study the problem of learning unknown parameters of stochastic dynamical models from data. Often, these models are high dimensional and contain several scales and complex structures. One is then interested in obtaining a reduced, coarse-grained descript ...

EPFL2022

On the rate of convergence for the autocorrelation operator in functional autoregression

Victor Panaretos, Alessia Caponera

We consider the problem of estimating the autocorrelation operator of an autoregressive Hilbertian process. By means of a Tikhonov approach, we establish a general result that yields the convergence rate of the estimated autocorrelation operator as a funct ...

ELSEVIER2022

Causal modelling of heavy-tailed variables and confounders with application to river flow

Anthony Christopher Davison, Valérie Chavez

Confounding variables are a recurrent challenge for causal discovery and inference. In many situations, complex causal mechanisms only manifest themselves in extreme events, or take simpler forms in the extremes. Stimulated by data on extreme river flows a ...

SPRINGER2022

Sparsely Observed Functional Time Series: Theory and Applications

Tomas Rubin

Functional time series is a temporally ordered sequence of not necessarily independent random curves. While the statistical analysis of such data has been traditionally carried out under the assumption of completely observed functional data, it may well ha ...

EPFL2021

Sparsely observed functional time series: estimation and prediction

Victor Panaretos, Tomas Rubin

Functional time series analysis, whether based on time or frequency domain methodology, has traditionally been carried out under the assumption of complete observation of the constituent series of curves, assumed stationary. Nevertheless, as is often the c ...

INST MATHEMATICAL STATISTICS2020

Tightly Coupled GNSS/INS Integration based on Robust M-Estimators

Jan Skaloud

The combination of Global Navigation Satellite Systems (GNSS) and Inertial Navigation System (INS) has become the baseline of many vehicular applications. However, in challenging GNSS scenarios, classical GNSS/INS integration estimators are very sensitive ...

2018

Jump-Penalized Least Absolute Values Estimation of Scalar or Circle-Valued Signals

Michaël Unser, Martin Kurt Storath

We study jump-penalized estimators based on least absolute deviations which are often referred to as Potts estimators. They are estimators for a parsimonious piecewise constant representation of noisy data having a noise distribution which has heavier tail ...

Oxford University Press2017

Research online: Robust tightly coupled GNSS/INS estimation for navigation

Jan Skaloud, Omar Garcia Crespillo

We designed a tightly-coupled integration between GNSS and inertial navigation systems (INS) where we modify the update step of a classical Extended Kalman Filter (EKF) to consider different robust estimators (such as M-estimators). We consider different f ...

2017

Robust Tightly Coupled GNSS/INS Estimation for Navigation in Challenging Scenarios

Jan Skaloud, Omar Garcia Crespillo

The combination of Global Navigation Satellite Systems (GNSS) and Inertial Navigation System (INS) has become the baseline of many transportation applications. In this work, we design a tightly-coupled integration between GNSS and INS where we modify the u ...

2017

Blowing in the Wind : Regularizations and Outlier Removal

Marta Martinez-Camara

Every day tons of pollutants are emitted into the atmosphere all around the world. These pollutants are altering the equilibrium of our planet, causing profound changes in its climate, increasing global temperatures, and raising the sea level. The need to ...

EPFL2017

Robust compressive sensing of sparse signals: A review

Rafael Eduardo Carrillo Rangel

Compressive sensing generally relies on the L2-norm for data fidelity, whereas in many applications robust estimators are needed. Among the scenarios in which robust performance is required, applications where the sampling process is performed in the prese ...

Springer International Publishing Ag2016

Likelihood estimators for multivariate extremes

Anthony Christopher Davison, Raphaël Huser

The main approach to inference for multivariate extremes consists in approximating the joint upper tail of the observations by a parametric family arising in the limit for extreme events. The latter may be expressed in terms of componentwise maxima, high t ...

Springer2016

Reference-Free Automated Magnetic Sensor Calibration for Angle Estimation in Smart Knee Prostheses

Kamiar Aminian, Arash Arami, Julien David Rechenmann

In this work, we present a method for automated calibration of an implanted anisotropic magnetoresistive (AMR) sensor for measuring the internal-external rotation (IE) in a prosthetic knee without using any reference measurement. The measurement system con ...

Institute of Electrical and Electronics Engineers2014

Statistical Inference for Partially Observed Stochastic Epidemics

Andrea Kraus

This work is concerned with the estimation of the spreading potential of the disease in the initial stages of an epidemic. A speedy and accurate estimation is important for determining whether or not interventions are necessary to prevent a major outbreak. ...

EPFL2013

A generalization of the Solis-Wets method

In this paper we focus on the application of global stochastic optimization methods to extremum estimators. We propose a general stochastic method the master method which includes several stochastic optimization algorithms as a particular case. The propose ...

Elsevier2012

A Quasi-Likelihood Approach to Zero-Inflated Spatial Count Data

Anthea Monod

The increased accessibility of data that are geographically referenced and correlated increases the demand for techniques of spatial data analysis. The subset of such data comprised of discrete counts exhibit particular difficulties and the challenges furt ...

EPFL2012

Robust parameter estimation for the Ornstein-Uhlenbeck process

Sonja Rieder

In this paper, we derive elementary M- and optimally robust asymptotic linear (AL)-estimates for the parameters of an Ornstein-Uhlenbeck process. Simulation and estimation of the process are already well-studied, see Iacus (Simulation and inference for sto ...

Springer-Verlag2012

Maximum likelihood estimation for multiple-source losss tomography with network coding

Christina Fragouli

Loss tomography aims at inferring the loss rate of links in a network from end-to-end measurements. Previous work in [1] has developed optimal maximum likelihood estimators (MLEs) for link loss rates in a single-source multicast tree. However, only sub-opt ...

2011