scientific article; zbMATH DE number 7592887

MaRDI QIDQ5869083

Victor Vasil'Evich Konev, Evgeny Pchelintsev

Publication date: 27 September 2022

Full work available at URL: http://mathnet.ru/eng/vtgu236

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Ornstein-Uhlenbeck processquadratic riskminimaxityimproved estimationleast square estimatespulse noisenon-Gaussian parametric regression

Mathematics Subject Classification ID

Statistics (62-XX) Systems theory; control (93-XX)

Related Items (1)

ESTIMATING PARAMETERS IN A REGRESSION MODEL WITH DEPENDENT NOISES

Cites Work

• Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
• Estimation of the mean of a multivariate normal distribution
• Families of minimax estimators of the mean of a multivariate normal distribution
• Minimax estimation of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• Minimax estimates of a normal mean vector for arbitrary quadratic loss and unknown covariance matrix
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• A Family of Minimax Estimators of the Mean of a Multivariate Normal Distribution
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