adaptive density estimation in a mixing framework
Karine Tribouley, Gabrielle Viennet (1998)
Annales de l'I.H.P. Probabilités et statistiques
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Karine Tribouley, Gabrielle Viennet (1998)
Annales de l'I.H.P. Probabilités et statistiques
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V. Goodman, J. Kuelbs (1993)
Annales de l'I.H.P. Probabilités et statistiques
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Arnak Dalalyan, Nakahiro Yoshida (2011)
Annales de l'I.H.P. Probabilités et statistiques
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In this paper, we consider the problem of estimating the covariation of two diffusion processes when observations are subject to non-synchronicity. Building on recent papers [ (2005) 359–379, (2008) 367–406], we derive second-order asymptotic expansions for the distribution of the Hayashi–Yoshida estimator in a fairly general setup including random sampling schemes and non-anticipative random drifts. The key steps leading to our results are a second-order...
A. N. Borodin, M. I. Freidlin (1995)
Annales de l'I.H.P. Probabilités et statistiques
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Jay Rosen (1999)
Annales de l'I.H.P. Probabilités et statistiques
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A. Goldenshluger, A. Juditsky, A. B. Tsybakov, A. Zeevi (2008)
Annales de l'I.H.P. Probabilités et statistiques
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We consider the problem of nonparametric estimation of signal singularities from indirect and noisy observations. Here by singularity, we mean a discontinuity (change-point) of the signal or of its derivative. The model of indirect observations we consider is that of a linear transform of the signal, observed in white noise. The estimation problem is analyzed in a minimax framework. We provide lower bounds for minimax risks and propose rate-optimal estimation procedures.