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most citedFast learning rates for plug-in classifiers

332 citations

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16 papers · 1 filter

math.ST2008★ 56 cited

Universal pointwise selection rule in multivariate function estimation

Alexander Goldenshluger, Oleg Lepski

In this paper, we study the problem of pointwise estimation of a multivariate function. We develop a general pointwise estimation procedure that is based on selection of estimators…

math.ST2008★ 4 cited

High-dimensional stochastic optimization with the generalized Dantzig estimator

Karim Lounici

We propose a generalized version of the Dantzig selector. We show that it satisfies sparsity oracle inequalities in prediction and estimation. We consider then the particular case…

math.PR2008★ 1 cited

Call option prices based on Bessel processes

Ju-Yi Yen, Marc Yor

As a complement to some recent work by Pal and Protter, "Strict local martingales, bubbles, and no early exercise", we show that the call option prices associated with the Bessel s…

math.PR2008★ 12 cited

Skew-product representations of multidimensional Dunkl Markov processes

Oleksandr Chybiryakov

In this paper we obtain skew-product representations of the multidimensional Dunkl processes which generalize the skew-product decomposition in dimension 1 obtained in L. Gallardo…

math.PR2008★ 20 cited

Density estimates and concentration inequalities with Malliavin calculus

Ivan Nourdin, Frederi G. Viens

We show how to use the Malliavin calculus to obtain density estimates of the law of general centered random variables. In particular, under a non-degeneracy condition, we prove and…

math.PR2008★ 8 cited

Penalising symmetric stable Lévy paths

Kouji Yano, Yuko Yano, Marc Yor

Limit theorems for the normalized laws with respect to two kinds of weight functionals are studied for any symmetric stable Lévy process of index . The first kind is…