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Shrinkage strategies in some multiple multi-factor dynamical systems

Sévérien Nkurunziza (2012)

ESAIM: Probability and Statistics

In this paper, we are interested in estimation problem for the drift parameters matrices of m independent multivariate diffusion processes. More specifically, we consider the case where the m-parameters matrices are supposed to satisfy some uncertain constraints. Given such an uncertainty, we develop shrinkage estimators which improve over the performance of the maximum likelihood estimator (MLE). Under an asymptotic distributional quadratic risk criterion, we study the relative dominance of the...

Shrinkage strategies in some multiple multi-factor dynamical systems

Sévérien Nkurunziza (2012)

ESAIM: Probability and Statistics

In this paper, we are interested in estimation problem for the drift parameters matrices of m independent multivariate diffusion processes. More specifically, we consider the case where the m-parameters matrices are supposed to satisfy some uncertain constraints. Given such an uncertainty, we develop shrinkage estimators which improve over the performance of the maximum likelihood estimator (MLE). Under an asymptotic distributional quadratic risk criterion, we study the relative dominance of the...

Weighted Elastic Net Model for Mass Spectrometry Imaging Processing

D. Hong, F. Zhang (2010)

Mathematical Modelling of Natural Phenomena

In proteomics study, Imaging Mass Spectrometry (IMS) is an emerging and very promising new technique for protein analysis from intact biological tissues. Though it has shown great potential and is very promising for rapid mapping of protein localization and the detection of sizeable differences in protein expression, challenges remain in data processing due to the difficulty of high dimensionality and the fact that the number of input variables in...

Why L 1 view and what is next?

László Györfi, Adam Krzyżak (2011)

Kybernetika

N. N. Cencov wrote a commentary chapter included in the Appendix of the Russian translation of the Devroye and Györfi book [15] collecting some arguments supporting the L 1 view of density estimation. The Cencov’s work is available in Russian only and it hasn’t been translated, so late Igor Vajda decided to translate the Cencov’s paper and to add some remarks on the occasion of organizing the session “25 Years of the L 1 Density Estimation” at the Prague Stochastics 2010 Symposium. In this paper we...

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