83 citations
- Institute of Rural Management AnandIN17 papers
- Centre National de la Recherche ScientifiqueFR14 papers
- Laboratoire de Mathématiques d'OrsayFR2 papers
- Laboratoire de Mathématiques Raphaël SalemFR2 papers
- Roma Tre UniversityIT2 papers
- Université de StrasbourgFR2 papers
- University of Rome Tor VergataIT2 papers
- Christian-Albrechts-Universität zu KielDE1 paper
- Czech Academy of Sciences, Institute of MathematicsCZ1 paper
- École Polytechnique Fédérale de LausanneCH1 paper
- Friedrich-Alexander-Universität Erlangen-NürnbergDE1 paper
- Hôpital Civil, StrasbourgFR1 paper
4 papers · 1 filter
Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression via model selection
Leonid Galtchouk, Serguey Pergamenshchikov
The paper deals with asymptotic properties of the adaptive procedure proposed in the author paper, 2007, for estimating a unknown nonparametric regression. We prove that this proce…
On asymptotic normality of sequential LS-estimates of unstable autoregressive processes
Leonid Galtchouk, Victor Konev
For estimating the unknown parameters in an unstable autoregressive AR(p), the paper proposes sequential least squares estimates with a special stopping time defined by the trace o…
Adaptive sequential estimation for ergodic diffusion processes in quadratic metric. Part 2: Asymptotic efficiency
Leonid Galtchouk, Serguey Pergamenshchikov
Asymptotic efficiency is proved for the constructed in part 1 procedure, i.e. Pinsker's constant is found in the asymptotic lower bound for the minimax quadratic risk. It is shown…
Statistics of extremes under random censoring
John H. J. Einmahl, Amélie Fils-Villetard, Armelle Guillou
We investigate the estimation of the extreme value index when the data are subject to random censorship. We prove, in a unified way, detailed asymptotic normality results for vario…