Model selection for (auto-)regression with dependent data

DOI10.1051/ps:2001101zbMath0990.62035OpenAlexW2111620585MaRDI QIDQ4534854

Yannick Baraud, Fabienne Comte, Gabrielle Viennet

Publication date: 11 June 2002

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2001__5__33_0

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (21)

Penalized nonparametric drift estimation for a multidimensional diffusion process ⋮ Adaptive estimation for Hawkes processes; application to genome analysis ⋮ Nonparametric drift estimation from diffusions with correlated Brownian motions ⋮ Nonparametric adaptive estimation for interacting particle systems ⋮ A Bernstein-type inequality for suprema of random processes with applications to model selection in non-Gaussian regression ⋮ Model selection: from theory to practice ⋮ Data-driven model selection for same-realization predictions in autoregressive processes ⋮ Nonparametric estimation for stochastic volatility models ⋮ Estimating composite functions by model selection ⋮ Penalized nonparametric mean square estimation of the coefficients of diffusion processes ⋮ A ridge estimator of the drift from discrete repeated observations of the solution of a stochastic differential equation ⋮ Nonparametric drift estimation for i.i.d. paths of stochastic differential equations ⋮ Some applications of concentration inequalities to statistics ⋮ A new algorithm for fixed design regression and denoising ⋮ Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process ⋮ Order Determination in Nonlinear Time Series by Penalized Least-Squares ⋮ Nonparametric adaptive estimation for integrated diffusions ⋮ Adaptive Estimation of Hazard Rate with Censored Data ⋮ SPLINE ESTIMATION OF A SEMIPARAMETRIC GARCH MODEL ⋮ Histogram selection in non Gaussian regression ⋮ Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

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