2 papers
stat.ME2016
On the Consistency of the Bias Correction Term of the AIC for the Non-Concave Penalized Likelihood Method
Yuta Umezu, Yoshiyuki Ninomiya
Penalized likelihood methods with an -type penalty, such as the Bridge, the SCAD, and the MCP, allow us to estimate a parameter and to do variable selection, simultaneously…
math.PR2013
Edgeworth expansion for the integrated Levy driven Ornstein-Uhlenbeck process
Hiroki Masuda, Nakahiro Yoshida
We verify the Edgeworth expansion of any order for the integrated ergodic Levy driven Ornstein-Uhlenbeck process, applying a Malliavin calculus with truncation over the Wiener-Pois…