Improved model selection for estimation in semimartingale regression from discrete data
We consider the adaptive nonparametric estimation problem for a function of a continuous time regression model with semimartingale noises by incomplete observations. We consider the regression model defined by non-Gaussian Ornstein-Uhlenbeck processes. A model selection procedure, based on the shrin...
| Published in: | Международная научная конференция "Робастная статистика и финансовая математика - 2019" (04-06 июля 2019 г.) : сборник статей С. 36-42 |
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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:000790464 Перейти в каталог НБ ТГУ |