Invariance principle for stochastic processes with short memory

In this paper we give simple sufficient conditions for linear type processes with short memory that imply the invariance principle. Various examples including projective criterion are considered as applications. In particular, we treat the weak invariance principle for partial sums of linear processes with short memory. We prove that whenever the partial sums of innovations satisfy the $L_p$--invariance principle, then so does the partial sums of its corresponding linear process.Comment: Published at http://dx.doi.org/10.1214/074921706000000734 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org

Invariance principles for linear processes with application to isotonic regression

In this paper, we prove maximal inequalities and study the functional central limit theorem for the partial sums of linear processes generated by dependent innovations. Due to the general weights, these processes can exhibit long-range dependence and the limiting distribution is a fractional Brownian motion. The proofs are based on new approximations by a linear process with martingale difference innovations. The results are then applied to study an estimator of the isotonic regression when the error process is a (possibly long-range dependent) time series.Comment: Published in at http://dx.doi.org/10.3150/10-BEJ273 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Distributed Constrained Recursive Nonlinear Least-Squares Estimation: Algorithms and Asymptotics

This paper focuses on the problem of recursive nonlinear least squares parameter estimation in multi-agent networks, in which the individual agents observe sequentially over time an independent and identically distributed (i.i.d.) time-series consisting of a nonlinear function of the true but unknown parameter corrupted by noise. A distributed recursive estimator of the \emph{consensus} + \emph{innovations} type, namely $\mathcal{CIWNLS}$, is proposed, in which the agents update their parameter estimates at each observation sampling epoch in a collaborative way by simultaneously processing the latest locally sensed information~(\emph{innovations}) and the parameter estimates from other agents~(\emph{consensus}) in the local neighborhood conforming to a pre-specified inter-agent communication topology. Under rather weak conditions on the connectivity of the inter-agent communication and a \emph{global observability} criterion, it is shown that at every network agent, the proposed algorithm leads to consistent parameter estimates. Furthermore, under standard smoothness assumptions on the local observation functions, the distributed estimator is shown to yield order-optimal convergence rates, i.e., as far as the order of pathwise convergence is concerned, the local parameter estimates at each agent are as good as the optimal centralized nonlinear least squares estimator which would require access to all the observations across all the agents at all times. In order to benchmark the performance of the proposed distributed $\mathcal{CIWNLS}$ estimator with that of the centralized nonlinear least squares estimator, the asymptotic normality of the estimate sequence is established and the asymptotic covariance of the distributed estimator is evaluated. Finally, simulation results are presented which illustrate and verify the analytical findings.Comment: 28 pages. Initial Submission: Feb. 2016, Revised: July 2016, Accepted: September 2016, To appear in IEEE Transactions on Signal and Information Processing over Networks: Special Issue on Inference and Learning over Network

Quasi maximum likelihood estimation for strongly mixing state space models and multivariate L\'evy-driven CARMA processes

We consider quasi maximum likelihood (QML) estimation for general non-Gaussian discrete-ime linear state space models and equidistantly observed multivariate L\'evy-driven continuoustime autoregressive moving average (MCARMA) processes. In the discrete-time setting, we prove strong consistency and asymptotic normality of the QML estimator under standard moment assumptions and a strong-mixing condition on the output process of the state space model. In the second part of the paper, we investigate probabilistic and analytical properties of equidistantly sampled continuous-time state space models and apply our results from the discrete-time setting to derive the asymptotic properties of the QML estimator of discretely recorded MCARMA processes. Under natural identifiability conditions, the estimators are again consistent and asymptotically normally distributed for any sampling frequency. We also demonstrate the practical applicability of our method through a simulation study and a data example from econometrics