Showing 2021Show all
2 papers · 1 filter
math.PR2021
Unbiased Simulation Estimators for Multivariate Jump-Diffusions
Guanting Chen, Alex Shkolnik, Kay Giesecke
We develop and analyze a class of unbiased Monte Carlo estimators for multivariate jump-diffusion processes with state-dependent drift, volatility, jump intensity and jump size. A…
math.ST2021
James-Stein estimation of the first principal component
Alex Shkolnik
The Stein paradox has played an influential role in the field of high dimensional statistics. This result warns that the sample mean, classically regarded as the "usual estimator",…