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math.ST2024
Non trivial optimal sampling rate for estimating a Lipschitz-continuous function in presence of mean-reverting Ornstein-Uhlenbeck noise
Enrico Bernardi, Alberto Lanconelli, Christopher S. A. Lauria +1
We examine a mean-reverting Ornstein-Uhlenbeck process that perturbs an unknown Lipschitz-continuous drift and aim to estimate the drift's value at a predetermined time horizon by…
stat.ME2024
A Novel Theoretical Framework for Exponential Smoothing
Enrico Bernardi, Alberto Lanconelli, Christopher S. A. Lauria
Simple Exponential Smoothing is a classical technique used for smoothing time series data by assigning exponentially decreasing weights to past observations through a recursive equ…