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Source: Международная научная конференция "Робастная статистика и финансовая математика – 2022" (4-5 июля 2022 г.) : сборник статей. Томск, 2022. С. 21-30
Type: статьи в сборниках
Date: 2022
Description:
Изучаем задачу оценивания эргодического диффузионного процесса со сносом S(y) = ψ0(y) +Pq j=1 tajψj(y) и волатильностью b(y), где ψj , j ≤ q, — линейно независимые функции, taj , b(ot), q — неизвестны
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Source: Международная научная конференция "Робастная статистика и финансовая математика – 2020" (15-16 декабря 2020 г.) : сборник статей. Томск, 2021. С. 14-22
Type: статьи в сборниках
Date: 2021
Description:
We study a non parametric estimation problem for regression models in continuous time with noises defined through non -Gaussian semi - Markov processes with jumps. Moreover, we assume that the jumps a
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Source: Международная научная конференция "Робастная статистика и финансовая математика – 2020" (15-16 декабря 2020 г.) : сборник статей. Томск, 2021. С. 4-13
Type: статьи в сборниках
Date: 2021
Description:
In this paper we study high dimension statistical autoregressive models on the basis of the sequential analysis approach. To this end we use the model selection procedures developed in [4]. For such m
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Source: Advances in electrical and electronic engineering. 2019. Vol. 17, № 3. P. 270-274
Type: статьи в журналах
Date: 2019
Description:
In this paper, we consider the problem of robust adaptive efficient estimating a periodic signal observed in the transmission channel with the dependent noise defined by non-Gaussian Ornstein-Uhlenbec
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Source: Вестник Томского государственного университета. Математика и механика. 2019. № 58. С. 14-31
Type: статьи в журналах
Date: 2019
Description:
This paper considers the problem of robust adaptive efficient estimating of a periodic function in a continuous time regression model with the dependent noises given by a general square integrable sem
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Source: 31st European modeling and simulation symposium (EMSS 2019) : held at the International Multidisciplinary Modeling and Simulation Multiconference (I3M 2019), Lisbon, Portugal, 18-20 September 2019. Rende, 2019. С. 90-95
Type: статьи в сборниках
Date: 2019
Description:
The paper considers the problem of robust adaptive
Source: Международная научная конференция "Робастная статистика и финансовая математика - 2019" (04-06 июля 2019 г.) : сборник статей. Томск, 2019. С. 20-25
Type: статьи в сборниках
Date: 2019
Description:
In this paper we consider the non parametric drift estimation problem for the ergodic diffusion processes on the basis of the observations in the fixed discrete time moments in the case when the diffu
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Source: Statistical inference for stochastic processes. 2018. Vol. 21, № 2. P. 469-483
Type: статьи в журналах
Date: 2018
Description:
This paper is a survey of recent results on the adaptive robust non parametric methods for the continuous time regression model with the semi - martingale noises with jumps. The noises are modeled by
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Source: Вестник Томского государственного университета. Математика и механика. 2009. № 4. С. 31-45
Type: статьи в журналах
Date: 2009
Description:
In this paper we prove the asymptotic efficiency of the model selection procedure proposed by the authors in [1]. To this end we introduce the robust risk as the least upper bound of the quadratical r
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