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Displaying similar documents to “Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift.”

An extreme Markovian-evolutionary (EME) sequence.

José Tiago de Oliveira (1985)

Trabajos de Estadística e Investigación Operativa

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The most general sequence, with Gumbel margins, generated by maxima procedures in an auto-regressive way (one step) is defined constructively and its properties obtained; some remarks for statistical estimation are presented.

Quantitative concentration inequalities on sample path space for mean field interaction

François Bolley (2010)

ESAIM: Probability and Statistics

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We consider the approximation of a mean field stochastic process by a large interacting particle system. We derive non-asymptotic large deviation bounds measuring the concentration of the empirical measure of the paths of the particles around the law of the process. The method is based on a coupling argument, strong integrability estimates on the paths in Hölder norm, and a general concentration result for the empirical measure of identically distributed independent paths. ...

Model selection for estimating the non zero components of a Gaussian vector

Sylvie Huet (2006)

ESAIM: Probability and Statistics

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We propose a method based on a penalised likelihood criterion, for estimating the number on non-zero components of the mean of a Gaussian vector. Following the work of Birgé and Massart in Gaussian model selection, we choose the penalty function such that the resulting estimator minimises the Kullback risk.