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7 papers · 1 filter
Adaptive Estimation of Convex Sets and Convex Polytopes from Noisy Data
Victor-Emmanuel Brunel
We estimate convex polytopes and general convex sets in in the regression framework. We measure the risk of our estimators using a -type loss function an…
Perfect simulation for the Feynman-Kac law on the path space
Christophe Andrieu, Nicolas Chopin, Arnaud Doucet +1
This paper describes an algorithm of interest. This is a preliminary version and we intend on writing a better descripition of it and getting bounds for its complexity.
In praise of the referee
Nicolas Chopin, Andrew Gelman, Kerrie L. Mengersen +1
There has been a lively debate in many fields, including statistics and related applied fields such as psychology and biomedical research, on possible reforms of the scholarly publ…
On break-even correlation: the way to price structured credit derivatives by replication
Jean-David Fermanian, Olivier Vigneron
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical appl…
On adaptive inference and confidence bands
Marc Hoffmann, Richard Nickl
The problem of existence of adaptive confidence bands for an unknown density that belongs to a nested scale of Hölder classes over or is considered. Wherea…
Fast rates in learning with dependent observations
Pierre Alquier, Olivier Wintenberger
In this paper we tackle the problem of fast rates in time series forecasting from a statistical learning perspective. In a serie of papers (e.g. Meir 2000, Modha and Masry 1998, Al…