Despite its usefulness, the Kalman-Bucy filter is not perfect. One of its weaknesses is that it needs a Gaussian assumption on the initial data. Recently Yau and Yau introduced a new direct method to solve the estimation problem for linear filtering with non-Gaussian initial data. They factored the problem into two parts: (1) the on-line solution of a finite system of ordinary differential equations (ODEs), and (2) the off-line calculation of the Kolmogorov equation. Here we derive an explicit closed-form solution of the Kolmogorov equation. We also give some properties and conduct a numerical study of the solution.

We examine the effect of errors in covariates in nonparametric function estimation. These functions include densities, regressions and conditional quantiles. To estimate these functions, we use the idea of deconvoluting kernels in conjunction with the ordinary kernel methods. We also discuss a new class of function estimators based on local polynomials.

Can you capture the motion of a smile in 3-D? This paper presents a video acquisition system that measures 3-D geometry accurately. The data acquisition speed is 90 fps and over one quarter million points per frame. Acquisition, reconstruction, and display are simultaneously realized at 30 fps.

We study five-dimensional superconformal field theories and their holographic dual, matter-coupled Romans supergravity. On the one hand, some recently derived formulae allow us to extract the central charges from deformations of the supersymmetric five-sphere partition function, whose large N expansion can be computed using matrix model techniques. On the other hand, the conformal and flavor central charges can be extracted from the six-dimensional supergravity action, by carefully analyzing its embedding into type I’ string theory. The results match on the two sides of the holographic duality. Our results also provide analytic evidence for the symmetry enhancement in five-dimensional superconformal field theories.

Local quasilikelihood estimation is a useful extension of local least squares methods, but its computational cost and algorithmic convergence problems make the procedure less appealing, particularly when it is iteratively used in methods such as the backfitting algorithm, crossvalidation and bootstrapping. A onestep local quasilikelihood estimator is introduced to overcome the computational drawbacks of the local quasilikelihood method. We demonstrate that as long as the initial estimators are reasonably good, the onestep estimator has the same asymptotic behaviour as the local quasilikelihood method. Our simulation shows that the onestep estimator performs at least as well as the local quasilikelihood method for a wide range of choices of bandwidths. A datadriven bandwidth selector is proposed for the onestep estimator based on the preasymptotic substitution method of Fan and Gijbels. It is