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

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Add   Efficient estimation methods for non‑Gaussian regression models in continuous time
Authors: Pchelintsev, Evgeny A. | Pergamenshchikov, Serguei M. | Povzun, Maria A.
Source: Annals of the Institute of Statistical Mathematics. 2022. Vol. 74, № 1. P. 113-142
Type: статьи в журналах
Date: 2022
Description: In this paper, we develop an efficient nonparametric estimation theory for continuous time regression models with non-Gaussian Lévy noises in the case when the unknown functions belong to Sobolev elli ... More
Add   Improved robust model selection methods for a Lévy nonparametric regression in continuous time
Authors: Pchelintsev, Evgeny A. | Pchelintsev, Valeriy A. | Pergamenshchikov, Serguei M.
Source: Journal of nonparametric statistics. 2019. Vol. 31, № 3. P. 612-628
Type: статьи в журналах
Date: 2019
Description: In this paper, we develop the James–Stein improved method for the estimation problem of a nonparametric periodic function observed with Lévy noises in continuous time. An adaptive model selection proc ... More
Add   Oracle inequalities for the stochastic differential equations
Authors: Pchelintsev, Evgeny A. | Pergamenshchikov, Serguei M.
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 ... More
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