Efficient estimation methods for non-Gaussian regression models in continuous time

DOI10.1007/S10463-021-00790-7MaRDI QIDQ2075451zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 14 February 2022

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-021-00790-7

zbMATH Keywords

asymptotic efficiencyLévy processPinsker constantquadratic riskregression modelweighted least squares estimates

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(3)

• Improved robust model selection methods for a Lévy nonparametric regression in continuous time
• Super-efficient robust estimation in Lévy continuous time regression models from discrete data
• Adaptive efficient robust sequential analysis for autoregressive big data models

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