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71 papers · 1 filter
Stochastic mirror descent for nonparametric adaptive importance sampling
Pascal Bianchi, Bernard Delyon, Victor Priser +1
This paper addresses the problem of approximating an unknown probability distribution with density -- which can only be evaluated up to an unknown scaling factor -- with the he…
Regenerative bootstrap for -null recurrent Markov chains
Carlos Fernández
Two regeneration-based bootstrap methods, namely, the \textit{Regeneration based-bootstrap} \cite{AthreyaFuh1992, Somnat-1993} and the \textit{Regenerative Block bootstrap} \cite{B…
Tail Index Estimation for Discrete Heavy-Tailed Distributions
Patrice Bertail, Stephan Clémençon, Carlos Fernández
It is the purpose of this paper to investigate the issue of estimating the regularity index of a discrete heavy-tailed r.v. , \textit{i.e.} a r.v. valued in $\mathbb{N…
On Ranking-based Tests of Independence
Myrto Limnios, Stéphan Clémençon
In this paper we develop a novel nonparametric framework to test the independence of two random variables and with unknown respective marginals an…
Learning to Rank Anomalies: Scalar Performance Criteria and Maximization of Two-Sample Rank Statistics
Myrto Limnios, Nathan Noiry, Stéphan Clémençon
The ability to collect and store ever more massive databases has been accompanied by the need to process them efficiently. In many cases, most observations have the same behavior,…
General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
Tepmony Sim, Randal Douc, François Roueff
The class of observation-driven models (ODMs) includes many models of non-linear time series which, in a fashion similar to, yet different from, hidden Markov models (HMMs), involv…