Improved estimation in a non-Gaussian parametric regression

DOI10.1007/s11203-013-9075-0zbMath1259.62082arXiv1109.6493OpenAlexW2952290424MaRDI QIDQ1943992

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

Ornstein-Uhlenbeck processquadratic riskautoregressive noisepulse noise

Mathematics Subject Classification ID

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

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ESTIMATING PARAMETERS IN A REGRESSION MODEL WITH DEPENDENT NOISES ⋮ ADAPTIVE ESTIMATION IN A HETEROSCEDASTIC NONPARAMETRIC REGRESSION ⋮ IMPROVED MODEL SELECTION METHOD FOR AN ADAPTIVE ESTIMATION IN SEMIMARTINGALE REGRESSION MODELS ⋮ Oracle inequalities for the stochastic differential equations ⋮ Improved estimation method for high dimension semimartingale regression models based on discrete data ⋮ Generalized autoregressive moving average models: an efficient estimation approach ⋮ Unnamed Item ⋮ Unnamed Item ⋮ 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 ⋮ Improved robust model selection methods for a Lévy nonparametric regression in continuous time ⋮ Efficient estimation methods for non-Gaussian regression models in continuous time

Cites Work

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• A paradox concerning shrinkage estimators: Should a known scale parameter be replaced by an estimated value in the shrinkage factor?
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• Improved model selection method for a regression function with dependent noise
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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