Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Леви процесс"'
Publikováno v:
Annals of the Institute of Statistical Mathematics. 2022. Vol. 74, № 1. P. 113-142
In this paper, we develop an efficient nonparametric estimation theory for continuous time regression models with non-Gaussian Lévy noises in the case when the unknown functions belong to Sobolev ellipses. Using the Pinsker’s approach, we provide
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e265c6ba65e8a6d59521afa0800c13b
https://doi.org/10.1007/s10463-021-00790-7
https://doi.org/10.1007/s10463-021-00790-7
Autor:
Serguei Pergamenshchikov, Yuri Kabanov
Publikováno v:
Finance and stochastics. 2020. Vol. 24, № 1. P. 39-69
We study the asymptotics of the ruin probability for a process which is the solution of a linear SDE defined by a pair of independent Levy processes. Our main interest is a model describing the evolution of the capital reserve of an insurance company
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::14a685a754bbf1bbe54a1cc9193da0bf
http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000791247
http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000791247
Publikováno v:
Journal of nonparametric statistics. 2019. Vol. 31, № 3. P. 612-628
In this paper we develop the James - Stein improved estimation method for a nonparametric periodic function observed with the Levy noises in continuous time. An adaptive model selection procedure based on the improved weighted least square estimates
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4c3ab32ca297c3595add479898d89cd8
http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000672017
http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000672017
Publikováno v:
Statistical inference for stochastic processes. 2018. Vol. 21, № 2. P. 469-483
Statistical Inference for Stochastic Processes
Statistical Inference for Stochastic Processes, Springer Verlag, 2018, 21, pp.469-483. ⟨10.1007/s11203-018-9180-1⟩
Statistical Inference for Stochastic Processes
Statistical Inference for Stochastic Processes, Springer Verlag, 2018, 21, pp.469-483. ⟨10.1007/s11203-018-9180-1⟩
This paper is a survey of recent results on the adaptive robust non parametric methods for the continuous time regression model with the semi - martingale noises with jumps. The noises are modeled by the L\'evy processes, the Ornstein -- Uhlenbeck pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9432bbfea974bb69698c300e60f3c3ae