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This paper introduces variance estimators of Y in measurement error model X=Y+E with known Var(E). An unbiased estimator and an adjust non-negative estimator of Var(Y) are given. Meanwhile, some prope...
Consider a Linear Minimum Variance (LMV) estimation problem where the linear transformation of data is needed to compress dimension of observation data without loss of performance. A necessary and su±...
Abstract: We establish a simple variance inequality for U-statistics whose underlying sequence of random variables is an ergodic Markov Chain. The constants in this inequality are explicit and depend ...
We present new M-estimators of the mean and variance of real valued random variables, based on PAC-Bayes bounds. We analyze the non-asymptotic minimax properties of the deviations of those estimators ...
We consider the pricing of derivatives written on the discrete realized variance of an underlying security. In the literature, the realized variance is usually approximated by its continuous-time limi...

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