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Source: Statistical inference for stochastic processes. 2022. Vol. 25, № 1. P. 127-158
Type: статьи в журналах
Date: 2022
Description:
We consider drift estimation problems for high dimension ergodic diffusion processes in nonparametric setting based on observations at discrete fixed time moments in the case when diffusion coefficien
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Source: Annals of the Institute of Statistical Mathematics. 2022. Vol. 74, № 5. P. 925-955
Type: статьи в журналах
Date: 2022
Description:
In this paper we study generalized semi-Markov high dimension regression models in continuous time, observed at fixed discrete time moments. The generalized semi-Markov process has dependent jumps and
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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: 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
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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: 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: Международная научная конференция "Робастная статистика и финансовая математика - 2019" (04-06 июля 2019 г.) : сборник статей. Томск, 2019. С. 43-48
Type: статьи в сборниках
Date: 2019
Description:
In this paper we study an asymptotic efficiency property of the weighted least squares estimates for unknown square inte- grable functions in Gaussian regression models. We use the Pinsker approach. I
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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: 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
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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: Международная научная конференция "Робастная статистика и финансовая математика - 2017" (03-05 июля 2017 г.) : сборник статей. Томск, 2017. С. 5-11
Type: статьи в сборниках
Date: 2017
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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Source: Вестник Томского государственного университета. Математика и механика. 2008. № 2. С. 20-30
Type: статьи в журналах
Date: 2008
Description:
The paper deals with the nonparametric estimation problem at a given fixed point for an autoregressive model with unknown distributed noise. Kernel estimate modifications are proposed. Asymptotic mini
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