Displaying similar documents to “Estimation in models driven by fractional brownian motion”

Copolymer at selective interfaces and pinning potentials : weak coupling limits

Nicolas Petrelis (2009)

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

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We consider a simple random walk of length , denoted by ( ), and we define ( ) a sequence of centered i.i.d. random variables. For ∈ℕ we define (( , …, )) an i.i.d sequence of random vectors. We set ∈ℝ, ≥0 and ≥0, and transform the measure on the set of random walk trajectories with the hamiltonian ∑ ( +)sign( )+∑ ∑ ...

Planar Lorentz process in a random scenery

Françoise Pène (2009)

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

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We consider the periodic planar Lorentz process with convex obstacles (and with finite horizon). In this model, a point particle moves freely with elastic reflection at the fixed convex obstacles. The random scenery is given by a sequence of independent, identically distributed, centered random variables with finite and non-null variance. To each obstacle, we associate one of these random variables. We suppose that each time the particle hits an obstacle, it wins the amount given by...

Sparsity in penalized empirical risk minimization

Vladimir Koltchinskii (2009)

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

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Let (, ) be a random couple in × with unknown distribution . Let ( , ), …, ( , ) be i.i.d. copies of (, ), being their empirical distribution. Let , …, :↦[−1, 1] be a dictionary consisting of functions. For ∈ℝ, denote :=∑ . Let :×ℝ↦ℝ be a given loss function, which is convex with...

High-dimensional gaussian model selection on a gaussian design

Nicolas Verzelen (2010)

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

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We consider the problem of estimating the conditional mean of a real gaussian variable =∑=1 + where the vector of the covariates ( )1≤≤ follows a joint gaussian distribution. This issue often occurs when one aims at estimating the graph or the distribution of a gaussian graphical model. We introduce a general model selection procedure which is based on the minimization of a penalized least squares type criterion....