Adaptive estimation of mean and volatility functions in (auto-)regressive models.

DOI10.1016/S0304-4149(01)00128-4zbMath1064.62046MaRDI QIDQ1766042

Fabienne Comte, Yves Rozenholc

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

least-squares estimatoradaptive estimationnonparametric regressionautoregressionvariance estimationmixing processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (max. 100)

Adaptive estimation of the dynamics of a discrete time stochastic volatility model ⋮ Penalized nonparametric drift estimation for a multidimensional diffusion process ⋮ On a set of data for the membrane potential in a neuron ⋮ Estimation of the transition density of a Markov chain ⋮ Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations ⋮ Fourth order Taylor-Kármán structured covariance tensor for gravity gradient predictions by means of the Hankel transformation ⋮ Segmentation of the mean of heteroscedastic data via cross-validation ⋮ Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression ⋮ Penalized nonparametric mean square estimation of the coefficients of diffusion processes ⋮ Nonparametric estimation of the stationary density and the transition density of a Markov chain ⋮ Non-parametric estimation of the diffusion coefficient from noisy data ⋮ A new algorithm for fixed design regression and denoising ⋮ Non parametric estimation of the diffusion coefficients of a diffusion with jumps ⋮ Regression function estimation on non compact support in an heteroscesdastic model ⋮ Adaptive Estimation of Hazard Rate with Censored Data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimation of heteroscedasticity in regression analysis
• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• Qualitative threshold ARCH models
• Risk bounds for model selection via penalization
• Nonparametric vector autoregression
• Wavelets on the interval and fast wavelet transforms
• Mixing: Properties and examples
• Identification of nonlinear time series from first order cumulative characteristics
• Inequalities for absolutely regular sequences: application to density estimation
• Local polynomial estimators of the volatility function in nonparametric autoregression
• Model selection for regression on a fixed design
• Minimax estimation via wavelet shrinkage
• Generalized autoregressive conditional heteroscedasticity
• Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
• On nonparametric estimation in nonlinear AR(1)-models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Ten Lectures on Wavelets
• A Family of Asymptotically Optimal Methods for Choosing the Order of a Projective Regression Estimate
• Selection of the order of an autoregressive model by Akaike's information criterion
• Efficient estimation of conditional variance functions in stochastic regression
• Critères d'ergodicité géométrique ou arithmétique de modèles linéaires pertubés à représentation markovienne
• Fully Data-Driven Nonparametric Variance Estimators
• Some Comments on C P

This page was built for publication: Adaptive estimation of mean and volatility functions in (auto-)regressive models.