9 citations · 14 across the 3 of their papers we have counts for
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math.ST2009★ 5 cited
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…
math.ST2009★ 9 cited
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…
math.ST2008
On asymptotic normality of sequential LS-estimates of unstable autoregressive processes
Leonid Galtchouk, Victor Konev
For estimating the unknown parameters in an unstable autoregressive AR(p), the paper proposes sequential least squares estimates with a special stopping time defined by the trace o…