A truncated estimation method with guaranteed accuracy

DOI10.1007/s10463-013-0409-xzbMath1281.62209OpenAlexW2023848882MaRDI QIDQ2434139

Vjatscheslav Vasiliev

Publication date: 17 February 2014

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-013-0409-x

zbMATH Keywords

ratio estimationfixed sample sizemultivariate autoregressionAR-ARCH modelsnon-Gaussian Ornstein-Uhlenbeck processnonparametric multivariate logarithmic density derivative estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (5)

On a deconvolution problem under competing risks ⋮ Truncated estimation of ratio statistics with application to heavy tail distributions ⋮ A note on the adaptive estimation of a conditional continuous-discrete multivariate density by wavelet methods ⋮ Optimal index estimation of heavy-tailed distributions ⋮ On Optimal Adaptive Prediction of Multivariate Autoregression

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