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On Asymptotically Distribution Free Tests with Parametric Hypothesis for Ergodic Diffusion Processes
Cramer-von Mises tests ergodic diffusion process goodness of fit test asymptotically distribution free
2013/6/14
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coe...
On Asymptotically Distribution Free Tests with Parametric Hypothesis for Ergodic Diffusion Processes
Cramer-von Mises tests ergodic diffusion process goodness of fit test asymptotically distribution free
2013/6/14
We consider the problem of the construction of the asymptotically distribution free test by the observations of ergodic diffusion process. It is supposedd that under the basic hypothesis the trend coe...
Simple, asymptotically distribution-free, optimal tests for circular reflective symmetry about a known median direction
Circular statistics Fisher information singularity Rayleigh test for uniformity skewed distributions tests for symmetry
2013/4/28
In this paper, we propose optimal tests for circular reflective symmetry about a fixed median direction. The distributions against which optimality is achieved are the so-called k-sine-skewed distribu...
On asymptotically optimal confidence regions and tests for high-dimensional models
asymptotically optimal confidence regions tests for high-dimensional models
2013/4/27
We propose a general method for constructing confidence intervals and statistical tests for single or low-dimensional components of a large parameter vector in a high-dimensional model. It can be easi...
Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
efficient estimation fractional Brownian motion Fisher information general monotone sequence regular variation slowly varying functions spectral density.
2012/9/18
Mimicking the maximum likelihood estimator, we construct first order Cramer-Rao efficient and explicitly computable estimators for the scale parameterσ2 in the model Zi,n =σn−βXi+Yi, i = 1, . . ...
Asymptotically optimal parameter estimation under quantization constraints
Asymptotically quantization constraints parameter estimation
2011/3/18
The problem of decentralized parameter estimation is considered for diffusion-type processes whose drift coefficients are linear with respect to the unknown parameter. This problem is motivated by app...
Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
asymptotic bounds adaptive estimation efficient estimation het-eroscedastic regression nonparametric regression Pinsker’s constant
2010/3/10
The paper deals with asymptotic properties of the adaptive proce-
dure proposed in the author paper, 2007, for estimating an unknown
nonparametric regression. We prove that this procedure is asympto...
Asymptotically optimum estimation of a probability in inverse binomial sampling
Asymptotic properties Inverse binomial sampling Sequential es-timation.
2010/3/9
The optimum quality that can be asymptotically achieved in the estimation
of a probability p using inverse binomial sampling is considered in this paper.
A general definition of quality is used, in ...
Invariant measures for stochastic Cauchy problems with asymptotically unstable drift semigroup
Invariantmeasures stochastic evolution equationsin Hilbert spaces
2009/4/22
We investigate existence and permanence properties of invariant measures for abstract stochastic Cauchy problems of the form
dU(t) = (AU(t) + f) dt + B dWH(t),
governed by the generator A of...
Invariant measures for stochastic Cauchy problems with asymptotically unstable drift semigroup
Invariant measures stochastic problems existence
2009/4/1
We investigate existence and permanence properties of invariant measures for abstract stochastic Cauchy problems of the form dU(t) = (AU(t) + f) dt + B dWH(t),governed by the generator A of an asympto...
On the false discovery rate and an asymptotically optimal rejection curve
Crossing point extended Glivenko–Cantelli theorem false discoveryproportion false discovery rate familywise error rate
2010/3/19
In this paper we introduce and investigate a new rejection curve
for asymptotic control of the false discovery rate (FDR) in multiple
hypotheses testing problems. We first give a heuristic motivatio...
Asymptotically optimal filtering in linear systems with fractional Brownian noises
fractional Brownian motion homogeneous linear system optimal filtering filtering error asymptotic variance
2009/2/23
In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically ...
Asymptotically Optimal Estimator of the Parameter of Semi-Linear Autoregression
Martingale estimator optimization convergence
2010/4/30
The difference equations k = af(k−1) + "k, where ("k) is a square
integrable difference martingale, and the differential equation d =
−af()dt + d, where is a square integrable mar...