scientific article; zbMATH DE number 7592887

MaRDI QIDQ5869083zbMATH OpenFDO

Authors Victor Vasil'Evich Konev, Evgeny Pchelintsev

Publication date 27 September 2022

Full work available at URL http://mathnet.ru/eng/vtgu236

zbMATH Keywords

improved estimationleast square estimatesminimaxitynon-Gaussian parametric regressionOrnstein-Uhlenbeck processpulse noisequadratic risk

Mathematics Subject Classification ID

Statistics (62-XX) Systems theory; control (93-XX)

Cites work

• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
• Estimation of the mean of a multivariate normal distribution
• Estimation with quadratic loss.
• Families of minimax estimators of the mean of a multivariate normal distribution
• scientific article; zbMATH DE number 3896072 (Why is no real title available?)
• scientific article; zbMATH DE number 3733064 (Why is no real title available?)
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• Minimax estimates of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• Minimax estimation of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients

Cited in

(3)

• Efficient parametric estimation for a signal-plus-noise Gaussian model from discrete time observations
• Estimation of a Regression with the Pulse Type Noise from Discrete Data
• ESTIMATING PARAMETERS IN A REGRESSION MODEL WITH DEPENDENT NOISES

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