3 citations · 3 across the 2 of their papers we have counts for
3 papers
math.ST2026
Phase transitions and approximations of mean squared error for state-space models with fractional differencing
Prabir Burman, Xiucai Ding, Robert H. Shumway
We study trend estimation in state-space models in which the trend has a fractional stochastic difference of order and the observation errors form a short-range-dependent sta…
q-fin.PM2024
Benchmarking M6 Competitors: An Analysis of Financial Metrics and Discussion of Incentives
Matthew J. Schneider, Rufus Rankin, Prabir Burman +1
The M6 Competition assessed the performance of competitors using a ranked probability score and an information ratio (IR). While these metrics do well at picking the winners in the…
stat.ME2009★ 3 cited
Semiparametric modeling of autonomous nonlinear dynamical systems with applications
Debashis Paul, Jie Peng, Prabir Burman
In this paper, we propose a semi-parametric model for autonomous nonlinear dynamical systems and devise an estimation procedure for model fitting. This model incorporates subject-s…