Adaptive optimal prediction of Ornstein-Uhlenbeck type processes
This paper presents applications of the truncated estimation method of ratio type functionals by dependent sample of fixed size. This method makes it possible to obtain estimators with guaranteed accuracy in the sense of the đťż2đť‘š-norm, đť‘š ≥ 1. As an illustration, some parametric...
| Published in: | МеждŃнародная наŃчная конференция "РобаŃтная ŃтатиŃтика и финанŃовая математика - 2018" (09-11 июля 2018 Đł.) : Ńборник Ńтатей С. 31-37 |
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| Format: | Book Chapter |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000648713 Перейти в каталог НБ ТГУ |
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| 039 | 9 | |a 201902141525 |c 201902121602 |d VLOAD |y 201902121554 |z ĐлекŃандр Đльверович Гилязов | |
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| 100 | 1 | |a Dogadova, Tatiana V. |9 235011 | |
| 245 | 1 | 0 | |a Adaptive optimal prediction of Ornstein-Uhlenbeck type processes |c T. V. Dogadova, V. A. Vasiliev |
| 246 | 1 | 1 | |a Đдаптивное оптимальное прогнозирование процеŃŃов типа ОрнŃтейна-Уленбека |
| 504 | |a Библиогр.: 7 назв. | ||
| 520 | 3 | |a This paper presents applications of the truncated estimation method of ratio type functionals by dependent sample of fixed size. This method makes it possible to obtain estimators with guaranteed accuracy in the sense of the đťż2đť‘š-norm, đť‘š ≥ 1. As an illustration, some parametric estimation problems on a time interval of a fixed length are considered. In particular, the parameter estimation problem of Gaussian and non-Gaussian Ornstein-Uhlenbeck processes by continuous and discrete-time observations respectively with guaranteed accuracy is solved. Obtained estimators are used for the construction of adaptive predictors for these processes with unknown parameters. The proposed criteria of optimality are based on the loss function, defined as a linear combination of sample size and squared prediction error's sample mean. As a rule, the optimal sample size is a special stopping time. | |
| 653 | |a адаптивное оптимальное прогнозирование | ||
| 653 | |a ОрнŃтейна-Уленбека процеŃŃ | ||
| 653 | |a гарантированное оценивание параметров | ||
| 653 | |a Ń„Ńнкция риŃка | ||
| 655 | 4 | |a Ńтатьи в Ńборниках |9 879352 | |
| 700 | 1 | |a Vasiliev, Vyacheslav A. |9 141760 | |
| 773 | 0 | |t МеждŃнародная наŃчная конференция "РобаŃтная ŃтатиŃтика и финанŃовая математика - 2018" (09-11 июля 2018 Đł.) : Ńборник Ńтатей |d ТомŃĐş, 2018 |g С. 31-37 |z 9785946217507 |w to000635300 | |
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