Search Results - subject:"Adaptive Estimation"

Posterior concentration rates for infinite dimensional exponential families

Rivoirard, Vincent; Rousseau, Judith - Université Paris-Dauphine (Paris IX) - 2012

In this paper we derive adaptive non-parametric rates of concentration of the posterior distributions for the density model on the class of Sobolev and Besov spaces. For this purpose, we build prior models based on wavelet or Fourier expansions of the logarithm of the density. The prior models...

Persistent link: https://www.econbiz.de/10010861471

Adaptive Minimax Estimation over Sparse lq-Hulls

Wang, Zhan; Paterlini, Sandra; Gao, Fuchang; Yang, Yuhong - Dipartimento di Economia "Marco Biagi", Università … - 2012

Given a dictionary of Mn initial estimates of the unknown true regression function, we aim to construct linearly aggregated estimators that target the best performance among all the linear combinations under a sparse q-norm (0 = q = 1) constraint on the linear coefficients. Besides identifying...

Persistent link: https://www.econbiz.de/10010968920

Probabilistic forecasting of the wave energy flux

Pinson, P.; Reikard, G.; Bidlot, J.-R. - In: Applied Energy 93 (2012) C, pp. 364-370

Wave energy will certainly have a significant role to play in the deployment of renewable energy generation capacities. As with wind and solar, probabilistic forecasts of wave power over horizons of a few hours to a few days are required for power system operation as well as trading in...

Persistent link: https://www.econbiz.de/10010576259

Adaptive Minimax Estimation over Sparse l q-Hulls

Wang, Zhan; Paterlini, Sandra; Gao, Fuchang; Tang, Yuhong - Dipartimento di Economia "Marco Biagi", Università … - 2012

Given a dictionary of $M_n$ initial estimates of the unknown true regression function, we aim to construct linearly aggregated estimators that target the best performance among all the linear combinations under a sparse $q$-norm ($0 \leq q \leq 1$) constraint on the linear coefficients. Besides...

Persistent link: https://www.econbiz.de/10009645715

Adaptive estimation for financial time series

Mercurio, Danilo - 2004

Adaptive Estimation for Financial Time Series D I S S E R T A T I O N zur Erlangung des akademischen Grades doctor …: adaptive estimation, local homogeneity, financial data, forecasting Zusammenfassung Diese Dissertation entwickelt neue lokal … . . . . . . . . . 6 1.1.3 Adaptive estimation for time series data . . . . . . . . 7 1.2 Outline of the dissertation …

Persistent link: https://www.econbiz.de/10009467116

Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

Schlicht, Ekkehart - 2004

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997) which has been proposed in the context of my seasonal adjustment method (Schlicht 1981, 1984). A statistics estimator for the smoothing parameter is proposed that is asymptotically equivalent to the...

Persistent link: https://www.econbiz.de/10010261819

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

Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter

Schlicht, Ekkehart - 2004

This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed...

Persistent link: https://www.econbiz.de/10010427394

Efficiency improvements in inference on stationary and nonstationary fractional time series

Robinson, Peter - London School of Economics (LSE) - 2004

adaptive estimation of time series models; our work thus also contributes to methods and theory for nonfractional time series …

Persistent link: https://www.econbiz.de/10010928700

Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes

Hendry, David; Chevillon, Guillaume - Department of Economics, Oxford University - 2004

We evaluate the asymptotic and finite-sample properties of direct multi-step estimation (DMS) for forecasting at several horizons. For forecast accuracy gains from DMS in finite samples, mis-specification and non-stationarity of the DGP are necessary, but when a model is well-specified,...

Persistent link: https://www.econbiz.de/10005090632