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math.ST2015
Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems
Darinka Dentcheva, Spiridon Penev, Andrzej Ruszczynski
We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures o…
math.ST2005
Wavelet-based estimation with multiple sampling rates
Peter Hall, Spiridon Penev
We suggest an adaptive sampling rule for obtaining information from noisy signals using wavelet methods. The technique involves increasing the sampling rate when relatively high-fr…