Improved estimation in a non-Gaussian parametric regression

DOI10.1007/S11203-013-9075-0MaRDI QIDQ1943992zbMATH OpenOpenAlexFDO

Authors Evgeny Pchelintsev

Publication date 3 April 2013

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.6493

zbMATH Keywords

autoregressive noiseOrnstein-Uhlenbeck processpulse noisequadratic risk

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: The paper considers the problem of estimating the parameters in a continuous time regression model with a non-Gaussian noise of pulse type. The noise is specified by the Ornstein-Uhlenbeck process driven by the mixture of a Brownian motion and a compound Poisson process. Improved estimates for the unknown regression parameters, based on a special modification of the James-Stein procedure with smaller quadratic risk than the usual least squares estimates, are proposed. The developed estimation scheme is applied for the improved parameter estimation in the discrete time regression with the autoregressive noise depending on unknown nuisance parameters.

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Cites work

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Cited in

(16)

• Oracle inequalities for the stochastic differential equations
• Model selection for the robust efficient signal processing observed with small Lévy noise
• Polynomials under Ornstein-Uhlenbeck noise and an application to inference in stochastic Hodgkin-Huxley systems
• Efficient estimation methods for non-Gaussian regression models in continuous time
• Improved inference for moving average disturbances in nonlinear regression models
• Improved estimation method for high dimension semimartingale regression models based on discrete data
• Improved pretest nonparametric estimation in a multivariate regression model
• ESTIMATING PARAMETERS IN A REGRESSION MODEL WITH DEPENDENT NOISES
• scientific article; zbMATH DE number 7604773 (Why is no real title available?)
• Adaptive estimation in a heteroscedastic nonparametric regression
• Improved model selection method for an adaptive estimation in semimartingale regression models
• Improvement on LASSO-type estimator in nonparametric regression
• Improved robust model selection methods for a Lévy nonparametric regression in continuous time
• Generalized autoregressive moving average models: an efficient estimation approach
• Super-efficient robust estimation in Lévy continuous time regression models from discrete data
• Robust and efficient algorithms for estimating signals of unknown shape against the background of stationary and pulse random distortions

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