Электронная библиотека (репозиторий) Томского государственного университета
Pergamenshchikov, Serguei M.

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Add   Super-efficient robust estimation in Lévy continuous time regression models from discrete data
Authors: Nikiforov, Nikita I. | Pergamenshchikov, Serguei M. | Pchelintsev, Evgeny A.
Source: Вестник Томского государственного университета. Математика и механика. 2023. № 85. С. 22-31
Type: статьи в журналах
Date: 2023
Description: In this paper we consider the nonparametric estimation problem for a continuous time regression model with non-Gaussian Lévy noise of small intensity. The estimation problem is studied under the condi ... More
Add   Adaptive robust methods for dependent big data models
Authors: Arkoun, O. | Brua, J.-Y. | Pergamenshchikov, Serguei M.
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 ... More
Add   Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency
Authors: Konev, Victor V. | Pergamenshchikov, Serguei M.
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 ... More
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