3 papers
stat.CO2022
Pigeonhole Stochastic Gradient Langevin Dynamics for Large Crossed Mixed Effects Models
Xinyu Zhang, Cheng Li
Large crossed mixed effects models with imbalanced structures and missing data pose major computational challenges for standard Bayesian posterior sampling algorithms, as the compu…
math.ST2018
Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes
José E. Figueroa-López, Cheng Li, Jeffrey Nisen
In this paper, we propose a new threshold-kernel jump-detection method for jump-diffusion processes, which iteratively applies thresholding and kernel methods in an approximately o…
math.ST2016
Optimal Kernel Estimation of Spot Volatility of Stochastic Differential Equations
José E. Figueroa-López, Cheng Li
Kernel Estimation is one of the most widely used estimation methods in non-parametric Statistics, having a wide-range of applications, including spot volatility estimation of stoch…