Robust model selection for a semimartingale continuous time regression from discrete data

DOI10.1016/j.spa.2014.08.003zbMath1298.62067OpenAlexW1998097709MaRDI QIDQ468742

Victor Konev, Serguei Pergamenchtchikov

Publication date: 7 November 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2014.08.003

zbMATH Keywords

model selectionestimation from discrete datarobust risk estimationsemimartingale regressionsharp oracle inequalities

Mathematics Subject Classification ID

Related Items (12)

IMPROVED MODEL SELECTION METHOD FOR AN ADAPTIVE ESTIMATION IN SEMIMARTINGALE REGRESSION MODELS ⋮ Adaptive efficient analysis for big data ergodic diffusion models ⋮ Oracle inequalities for the stochastic differential equations ⋮ Adaptive efficient estimation for generalized semi-Markov big data models ⋮ Improved estimation method for high dimension semimartingale regression models based on discrete data ⋮ Unnamed Item ⋮ Confidence estimation of autoregressive parameters based on noisy data ⋮ Model selection for the robust efficient signal processing observed with small Lévy noise ⋮ Sequential model selection method for nonparametric autoregression ⋮ Improved robust model selection methods for a Lévy nonparametric regression in continuous time ⋮ Robust adaptive efficient estimation for semi-Markov nonparametric regression models ⋮ Efficient estimation methods for non-Gaussian regression models in continuous time

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