6 citations · 9 across the 4 of their papers we have counts for
4 papers
Sparse NonGaussian Component Analysis
Elmar Diederichs, Anatoli Juditsky, Vladimir Spokoiny +1
Non-gaussian component analysis (NGCA) introduced in offered a method for high dimensional data analysis allowing for identifying a low-dimensional non-Gaussian component of the wh…
Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
P. Čížek, W. Härdle, V. Spokoiny
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. Our general local parametric…
A penalized exponential risk bound in parametric estimation
V. Spokoiny
The paper offers a novel unified approach to studying the accuracy of parameter estimation by the quasi likelihood method. Important features of the approach are: (1) The underlyin…
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…