ESTIMATING PARAMETERS IN A REGRESSION MODEL WITH DEPENDENT NOISES

DOI10.17223/19988621/49/4OpenAlexW2775530018MaRDI QIDQ5042869

Mariya Anatolyevna Povzun, Evgeny Pchelintsev

Publication date: 26 October 2022

Published in: Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mekhanika (Search for Journal in Brave)

Full work available at URL: http://mathnet.ru/eng/vtgu606

zbMATH Keywords

regressionimproved estimationmean square riskAR/ARCH processconditionally Gaussian noise

Mathematics Subject Classification ID

Statistics (62-XX) Probability theory and stochastic processes (60-XX)

Related Items (2)

IMPROVED MODEL SELECTION METHOD FOR AN ADAPTIVE ESTIMATION IN SEMIMARTINGALE REGRESSION MODELS ⋮ Improved estimation method for high dimension semimartingale regression models based on discrete data

Cites Work

• A unified and generalized set of shrinkage bounds on minimax Stein estimates
• Estimation of the mean of a multivariate normal distribution
• Families of minimax estimators of the mean of a multivariate normal distribution
• Minimax estimates of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• Improved estimation in a non-Gaussian parametric regression
• Estimation of a Regression with the Pulse Type Noise from Discrete Data
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