The Barnes G function and its relations with sums and products of generalized gamma convolution variables.
Nikeghbali, Ashkan, Yor, Marc (2009)
Electronic Communications in Probability [electronic only]
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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.”
The Barnes G function and its relations with sums and products of generalized gamma convolution variables.
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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.