64 citations · 113 across the 17 of their papers we have counts for
23 papers
Truncated sequential guaranteed estimation for the Cox-Ingersoll-Ross models
Mohamed Ben Alaya, Thi-Bao Trâm Ngô, Serguei Pergamenchtchikov
The drift sequential parameter estimation problems for the Cox-Ingersoll-Ross (CIR) processes under the limited duration of observation are studied. Truncated sequential estimation…
Minimax and pointwise sequential changepoint detection and identification for general stochastic models
Serguei Pergamenchtchikov, Alexander Tartakovsky, Valentin Spivak
This paper considers the problem of joint change detection and identification assuming multiple composite postchange hypotheses. We propose a multihypothesis changepoint detection-…
Hedging problems for Asian options with transactions costs
Serguei Pergamenchtchikov, Alena Shishkova
In this paper, we consider the problem of hedging Asian options in financial markets with transaction costs. For this, we use the asymptotic hedging approach. The main task of asym…
Sequential Model Selection Method for Nonparametric Autoregression
Ouerdia Arkoun, Jean-Yves Brua, Serguei Pergamenshchikov
In this paper for the first time the nonparametric autoregression estimation problem for the quadratic risks is considered. To this end we develop a new adaptive sequential model s…
Asymptotically Optimal Pointwise and Minimax Change-point Detection for General Stochastic Models With a Composite Post-Change Hypothesis
Serguei Pergamenchtchikov, Alexander G. Tartakovsky
A weighted Shiryaev-Roberts change detection procedure is shown to approximately minimize the expected delay to detection as well as higher moments of the detection delay among all…
Model selection for the robust efficient signal processing observed with small Lévy noise
Slim Beltaief, Oleg Chernoyarov, Serguei Pergamenchtchikov
We develop a new model selection method for the adaptive robust efficient nonparametric signal estimation observed with impulse noise which is defined by the general non Gaussian L…