k-sample upper expectation linear regression-modeling, identifiability, estimation and prediction

DOI10.1016/J.JSPI.2015.09.002zbMATH Open1384.62238OpenAlexW1890387303MaRDI QIDQ899350FDOQ899350

Authors Lu Lin, Xin Wang, Shuzhen Yang, Yufeng Shi 

Publication date 28 December 2015

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2015.09.002

zbMATH Keywords

parameter estimationlinear regression\(k\)-sampledistribution uncertaintyupper expectation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites Work

• scientific article; zbMATH DE number 48344 (Why is no real title available?)
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
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• A functional central limit theorem for weakly dependent sequences of random variables
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• Backward Stochastic Differential Equations in Finance
• Dual formulation of second order target problems
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Martingale representation theorem for the \(G\)-expectation
• Me\fehler und Information
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• Nonparametric \(k\)-sample tests with panel count data
• Quasi-sure stochastic analysis through aggregation
• Risk measures via \(g\)-expectations
• Robust Statistics
• Stochastic finance. An introduction in discrete time
• Tests for Patterned Alternatives in k-Sample Problems
• The Adaptive Lasso and Its Oracle Properties
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• Uniqueness of the representation for \(G\)-martingales with finite variation
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Wellposedness of second order backward SDEs
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

Cited In (7)

• On semiclassical state of a nonlinear Dirac equation
• Linear regression under model uncertainty
• Upper expectation parametric regression
• A hypothesis-testing perspective on the \(G\)-normal distribution theory
• Nonlinear regression without i.i.d. assumption
• Nonparametric estimation of trend for stochastic processes driven by \(G\)-Brownian motion with small noise
• Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management

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