106 citations
- Technische Universität BerlinDE7 papers
- Centre National de la Recherche ScientifiqueFR5 papers
- Centre de Physique ThéoriqueFR4 papers
- Université de ToulonFR4 papers
- Aix-Marseille UniversitéFR3 papers
- Bielefeld UniversityDE3 papers
- Délégation Paris 6FR3 papers
- Humboldt-Universität zu BerlinDE3 papers
- Laboratoire de Mathématiques Analyse, Probabilités, Modélisation OrléansFR3 papers
- Sorbonne UniversitéFR3 papers
- Technical University of MunichDE3 papers
- California Institute of TechnologyUS2 papers
4 papers · 1 filter
Multiscale local change point detection with applications to value-at-risk
Vladimir Spokoiny
This paper offers a new approach to modeling and forecasting of nonstationary time series with applications to volatility modeling for financial data. The approach is based on the…
Exponential bounds for minimum contrast estimators
Yuri Golubev, Vladimir Spokoiny
The paper focuses on general properties of parametric minimum contrast estimators. The quality of estimation is measured in terms of the rate function related to the contrast, thus…
Spatial aggregation of local likelihood estimates with applications to classification
Denis Belomestny, Vladimir Spokoiny
This paper presents a new method for spatially adaptive local (constant) likelihood estimation which applies to a broad class of nonparametric models, including the Gaussian, Poiss…
A new algorithm for estimating the effective dimension-reduction subspace
Arnak Dalalyan, Anatoly Juditsky, Vladimir Spokoiny
The statistical problem of estimating the effective dimension-reduction (EDR) subspace in the multi-index regression model with deterministic design and additive noise is considere…