Nonparametric density estimation for continuous-time processes: minimax rates

被引：0

作者：

Blanke, D

机构：

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 1997年 / 325卷 / 05期

关键词：

D O I：

10.1016/S0764-4442(97)88901-X

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

For continuous-time processes, the kernel density estimator may achieve various convergence rates depending on the nature of the observed sample paths. Far a suitable family of processes, we prove that these rates are minimax.

引用

页码：527 / 530

页数：4

共 50 条

[1] INVARIANCE, MINIMAX SEQUENTIAL ESTIMATION, AND CONTINUOUS-TIME PROCESSES
KIEFER, J
[J]. ANNALS OF MATHEMATICAL STATISTICS, 1957, 28 (03): : 573 - 601
[2] Accurate rates of density estimators for continuous-time processes
Blanke, D.
Bosq, D.
[J]. Statistics & Probability Letters, 33 (02):
[3] Accurate rates of density estimators for continuous-time processes
Blanke, D
Bosq, D
[J]. STATISTICS & PROBABILITY LETTERS, 1997, 33 (02) : 185 - 191
[4] CONVERGENCE RATES OF SUMS OF α-MIXING TRIANGULAR ARRAYS: WITH AN APPLICATION TO NONPARAMETRIC DRIFT FUNCTION ESTIMATION OF CONTINUOUS-TIME PROCESSES
Kanaya, Shin
[J]. ECONOMETRIC THEORY, 2017, 33 (05) : 1121 - 1153
[5] Blind Nonparametric Estimation of SISO Continuous-time Systems
Elton, Augustus
Gonzalez, Rodrigo A.
Welsh, James S.
Oomen, Tom
Rojas, Cristian R.
[J]. IFAC PAPERSONLINE, 2023, 56 (02): : 4222 - 4227
[6] DENSITY-ESTIMATION FOR CONTINUOUS-TIME PROCESSES FROM NOISY OBSERVATIONS
BLANKE, D
[J]. COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE, 1995, 321 (05): : 623 - 626
[7] A family of minimax rates for density estimators in continuous time
Blanke, D
Bosq, D
[J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 2000, 18 (06) : 871 - 900
[8] Nonparametric estimation and prediction for continuous time processes
Bosq, D
[J]. NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS, 1997, 30 (06) : 3547 - 3551
[9] MINIMAX ESTIMATION OF CONTINUOUS-TIME DETERMINISTIC SIGNALS IN COLORED NOISE
BAHR, RK
BUCKLEW, JA
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1987, 27 (01) : 97 - 120
[10] Spectral GMM estimation of continuous-time processes
Chacko, G
Viceira, LM
[J]. JOURNAL OF ECONOMETRICS, 2003, 116 (1-2) : 259 - 292

← 1 2 3 4 5 →