Narrow search
Showing 1 - 10 of 379
Cover Image
Tail risk inference via expectiles in heavy-tailed time series
Davison, Anthony C.; Padoan, Simone A.; Stupfler, Gilles - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 876-889
Persistent link: https://www.econbiz.de/10014448453
Cover Image
A New Mixing Condition
Beare, Brendan K. - Department of Economics, Oxford University - 2007
In this paper a new mixing condition for sequences of random variables is considered. This mixing condition is termed … ã-mixing. Whereas mixing conditions such as á-mixing are typically defined in terms of entire ó-fields of sets … generated by random variables in the distant past and future, ã-mixing is defined in terms of a smaller class of sets: the …
Persistent link: https://www.econbiz.de/10005047803
Cover Image
A statistical view of clustering performance through the theory of U-processes
Clémençon, Stéphan - In: Journal of Multivariate Analysis 124 (2014) C, pp. 42-56
Many clustering techniques aim at optimizing empirical criteria that are of the form of a U-statistic of degree two. Given a measure of dissimilarity between pairs of observations, the goal is to minimize the within cluster point scatter over a class of partitions of the feature space. It is the...
Persistent link: https://www.econbiz.de/10010737759
Cover Image
Optimal Exponential Bounds on the Accuracy of Classification
Kerkyacharian, Gerard; Tsybakov, Alexandre B.; … - Centre de Recherche en Économie et Statistique … - 2013
Persistent link: https://www.econbiz.de/10010747008
Cover Image
Nonparametric estimation for Levy processes with a view towards mathematical finance
Figueroa-Lopez, Enrique; Houdré, Christian - 2004
Nonparametric methods for the estimation of the Levy density of a Levy process X are developed. Estimators that can be writtenin terms of the "jumps" of X are introduced, and so are discrete-data based approximations. A model selection approach made up oftwo steps is investigated. The first step...
Persistent link: https://www.econbiz.de/10009475806
Cover Image
Nonparametric estimation of Levy processes with a view towards mathematical finance
Figueroa-Lopez, Jose Enrique - 2004
Model selection methods and nonparametric estimation of Levy densities are presented. The estimation relies on the properties of Levy processes for small time spans, on the nature of the jumps of the process, and on methods of estimation for spatial Poisson processes. Given a linear space S of...
Persistent link: https://www.econbiz.de/10009475888
Cover Image
The lasso for high-dimensional regression with a possible change-point
Lee, Sokbae; Seo, Myung Hwan; Shin, Youngki - 2014
We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the threshold parameter. Our Lasso estimator not only selects covariates but also selects a model between linear and...
Persistent link: https://www.econbiz.de/10011282656
Cover Image
The lasso for high-dimensional regression with a possible change-point
Lee, Sokbae; Seo, Myung Hwan; Shin, Youngki - 2014
We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the threshold parameter. Our Lasso estimator not only selects covariates but also selects a model between linear and...
Persistent link: https://www.econbiz.de/10010358938
Cover Image
On the Prediction Performance of the Lasso
Dalalyan, Arnak S.; Hebiri, Mohamed; Lederer, Johannes - Centre de Recherche en Économie et Statistique … - 2014
Although the Lasso has been extensively studied, the relationship between its prediction performance and the correlations of the covariates is not fully understood. In this paper, we give new insights into this relationship in the context of multiple linear regression. We show, in particular,...
Persistent link: https://www.econbiz.de/10010814358
Cover Image
Subset selection with shrinkage : sparse linear modeling when the SNR is low
Mazumder, Rahul; Radchenko, Peter; Dedieu, Antoine - In: Operations research 71 (2023) 1, pp. 129-147
Persistent link: https://www.econbiz.de/10014308406