Stein estimation for infinitely divisible laws
R. Averkamp, C. Houdré (2006)
ESAIM: Probability and Statistics
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Unbiased risk estimation, à la Stein, is studied for infinitely divisible laws with finite second moment.
R. Averkamp, C. Houdré (2006)
ESAIM: Probability and Statistics
Similarity:
Unbiased risk estimation, à la Stein, is studied for infinitely divisible laws with finite second moment.
Enăchesu, Denis (2003)
Analele Ştiinţifice ale Universităţii “Ovidius" Constanţa. Seria: Matematică
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Mihoc, Ion, Fătu, Cristina I. (2003)
Acta Universitatis Apulensis. Mathematics - Informatics
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José Villén-Altamirano (1990)
Kybernetika
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Lesław Gajek, B. Mizera-Florczak (1998)
Applicationes Mathematicae
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Information inequalities for the minimax risk of sequential estimators are derived in the case where the loss is measured by the squared error of estimation plus a linear functional of the number of observations. The results are applied to construct minimax sequential estimators of: the failure rate in an exponential model with censored data, the expected proportion of uncensored observations in the proportional hazards model, the odds ratio in a binomial distribution and the expectation...
Iacus, Stefano Maria, La Torre, Davide (2005)
Journal of Applied Mathematics and Decision Sciences
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Jan Hurt (1976)
Aplikace matematiky
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S Trybuła (1991)
Applicationes Mathematicae
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Béatrice Laurent (2005)
ESAIM: Probability and Statistics
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We consider the problem of estimating the integral of the square of a density from the observation of a sample. Our method to estimate is based on model selection via some penalized criterion. We prove that our estimator achieves the adaptive rates established by Efroimovich and Low on classes of smooth functions. A key point of the proof is an exponential inequality for -statistics of order 2 due to Houdré and Reynaud.