Displaying similar documents to “Efficient robust nonparametric estimation in a semimartingale regression model”

Asymptotic properties of autoregressive regime-switching models

Madalina Olteanu, Joseph Rynkiewicz (2012)

ESAIM: Probability and Statistics

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The statistical properties of the likelihood ratio test statistic (LRTS) for autoregressive regime-switching models are addressed in this paper. This question is particularly important for estimating the number of regimes in the model. Our purpose is to extend the existing results for mixtures [X. Liu and Y. Shao, (2003) 807–832] and hidden Markov chains [E. Gassiat, (2002) 897–906]. First, we study the case of mixtures of autoregressive models (independent...

Hierarchical pinning model in correlated random environment

Quentin Berger, Fabio Lucio Toninelli (2013)

Annales de l'I.H.P. Probabilités et statistiques

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We consider the hierarchical disordered pinning model studied in ( (1992) 1189–1213), which exhibits a localization/delocalization phase transition. In the case where the disorder is i.i.d. (independent and identically distributed), the question of relevance/irrelevance of disorder (i.e. whether disorder changes or not the critical properties with respect to the homogeneous case) is by now mathematically rather well understood ( (2010) 159–175, ...

A multi-D model for Raman amplification

Mathieu Colin, Thierry Colin (2011)

ESAIM: Mathematical Modelling and Numerical Analysis

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In this paper, we continue the study of the Raman amplification in plasmas that we initiated in [Colin and Colin, (2004) 297–330; Colin and Colin, (2006) 535–562]. We point out that the Raman instability gives rise to three components. The first one is collinear to the incident laser pulse and counter propagates. In 2-D, the two other ones make a non-zero angle with the initial pulse and propagate forward. Furthermore they are symmetric with respect...

Data-driven penalty calibration: A case study for Gaussian mixture model selection

Cathy Maugis, Bertrand Michel (2012)

ESAIM: Probability and Statistics

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In the companion paper [C. Maugis and B. Michel, A non asymptotic penalized criterion for Gaussian mixture model selection. (2011) 41–68] , a penalized likelihood criterion is proposed to select a Gaussian mixture model among a specific model collection. This criterion depends on unknown constants which have to be calibrated in practical situations. A “slope heuristics” method is described and experimented to deal with this practical problem. In a model-based clustering...

Finite element approximations of a glaciology problem

Sum S. Chow, Graham F. Carey, Michael L. Anderson (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

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In this paper we study a model problem describing the movement of a glacier under Glen's flow law and investigated by Colinge and Rappaz [Colinge and Rappaz, (1999) 395–406]. We establish error estimates for finite element approximation using the results of Chow [Chow, (1992) 769–780] and Liu and Barrett [Liu and Barrett, (1996) 98–106] and give an analysis of the convergence of the successive approximations used in [Colinge and Rappaz,...

Large deviations for directed percolation on a thin rectangle

Jean-Paul Ibrahim (2012)

ESAIM: Probability and Statistics

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Following the recent investigations of Baik and Suidan in [(2005) 325–337] and Bodineau and Martin in [ (2005) 105–112 (electronic)], we prove large deviation properties for a last-passage percolation model in ℤ whose paths are close to the axis. The results are mainly obtained when the random weights are Gaussian or have a finite moment-generating function and rely, as in [J. Baik and T.M. Suidan, (2005) 325–337] and [T. Bodineau and J. Martin, ...