Zobrazeno 1 - 10
of 24
pro vyhledávání: '"Serguei Pergamenshchikov"'
Publikováno v:
Advances in Electrical and Electronic Engineering, Vol 17, Iss 3, Pp 270-274 (2019)
In this paper, we consider the problem of robust adaptive efficient estimating a periodic signal observed in the transmission channel with the dependent noise defined by non-Gaussian Ornstein-Uhlenbeck processes with unknown correlation properties. A
Externí odkaz:
https://doaj.org/article/e9101ff60ada49e3bd28d387dd64f900
Publikováno v:
Communications, Vol 20, Iss 1, Pp 73-77 (2018)
In this paper, we consider the robust adaptive non parametric estimation problem for the 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://doaj.org/article/e6b3d8cf845341759010f85253dcde96
Autor:
Aleksey Studenikin, Anton Tokarev, Tatiana Demina, Serguei Pergamenshchikov, Alexandra Salnikova
Publikováno v:
Software Engineering Application in Systems Design ISBN: 9783031214349
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b29b85c052e3af41c915a4943c85a853
https://doi.org/10.1007/978-3-031-21435-6_47
https://doi.org/10.1007/978-3-031-21435-6_47
Publikováno v:
Statistical Inference for Stochastic Processes. 25:537-576
In this paper we study a high dimension (Big Data) regression model in continuous time observed in the discrete time moments with dependent noises defined by semimartingale processes. To this end an improved (shrinkage) estimation method is developed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::433ff598c291c3e041ba36bf0305590c
https://doi.org/10.1007/s11203-021-09258-0
https://doi.org/10.1007/s11203-021-09258-0
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:
Oleg Chernoyarov, Alexey Glushkov, Vladimir Litvinenko, Yuliya Litvinenko, Serguei Pergamenshchikov
Publikováno v:
Journal of Physics: Conference Series. 2388:012072
A digital meter measuring the signal-to-noise ratio in the channel for transmitting discrete information with a constant amplitude of symbols that are the phase or frequency shift keyed signals is proposed. The desired value of the signal-to-noise ra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1c33985fe120bc38f2d7771eda69b232
https://doi.org/10.1088/1742-6596/2388/1/012072
https://doi.org/10.1088/1742-6596/2388/1/012072
Publikováno v:
Springer Proceedings in Mathematics & Statistics ISBN: 9783030832650
We study a robust adaptive nonparametric estimation problem for periodic functions observed in discrete fixed time moments with non-Gaussian Ornstein–Uhlenbeck noises. For this problem we develop a model selection method, based on the shrinkage (im
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9bd2b3861f9e14fc05a604eca051ca70
https://doi.org/10.1007/978-3-030-83266-7_12
https://doi.org/10.1007/978-3-030-83266-7_12
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:
Sequential Analysis
Sequential Analysis, Taylor & Francis, 2019
Sequential Analysis, Taylor & Francis, 2019
In this paper for the first time the nonparametric autoregression estimation problem for the quadratic risks is considered. To this end we develop a new adaptive sequential model selection method based on the efficient sequential kernel estimators pr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::be190f2e3fc11d5e6caf25e7968176c5
https://hal.archives-ouvertes.fr/hal-01871165/document
https://hal.archives-ouvertes.fr/hal-01871165/document