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- Université de Rouen NormandieFR6 papers
- Centre National de la Recherche ScientifiqueFR5 papers
- National Research Tomsk State UniversityRU2 papers
- Board of the Swiss Federal Institutes of TechnologyCH1 paper
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- Département mathématiques, informatique, sciences de la donnée et technologies du numériqueFR1 paper
- Institut de Mathématiques de MarseilleFR1 paper
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- Laboratoire de Physique ThéoriqueFR1 paper
5 papers · 1 filter
Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities
Victor Konev, Serguei Pergamenchtchikov
This paper considers the problem of estimating a periodic function in a continuous time regression model with a general square integrable semimartingale noise. A model selection ad…
Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency
Victor Konev, Serguei Pergamenchtchikov
In this paper we prove the asymptotic efficiency of the model selection procedure proposed by the authors in the first part. To this end we introduce the robust risk as the least u…
A test of goodness-of-fit for the copula densities
Ghislaine Gayraud, Karine Tribouley
We consider the problem of testing hypotheses on the copula density from bi-dimensional observations. We wish to test the null hypothesis characterized by a parametric class ag…
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…
Nonparametric estimation for an autoregressive model
Ouerdia Arkoun, Serguei Pergamenchtchikov
The paper deals with the nonparametric estimation problem at a given fixed point for an autoregressive model with unknown distributed noise. Kernel estimate modifications are propo…