Search Results - subject:"Inverse Problem"

Calibration of stochastic volatility models : a Tikhonov regularization approach

Dai, Min; Tang, Ling; Yue, Xingye - In: Journal of economic dynamics & control 64 (2016), pp. 66-81

Persistent link: https://www.econbiz.de/10011708221

Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Kappus, Johanna; Reiß, Markus - 2010

A Lévy process is observed at time points of distance delta until time T. We construct an estimator of the Lévy-Khinchine characteristics of the process and derive optimal rates of convergence simultaneously in T and delta. Thereby, we encompass the usual low- and high-frequency assumptions...

Persistent link: https://www.econbiz.de/10010270819

Сетевая экспертная поддержка решений

НИКОЛАЕВИЧ, РАЙКОВ АЛЕКСАНДР - In: Управление большими … (2010) 3, pp. 758-773

Для повышения качества поддержки управленческих решений интегрируются возможности ситуационных и экспертно-аналитических центров, сетевых экспертных...

Persistent link: https://www.econbiz.de/10011226970

Semiparametric estimation of Markov decision processeswith continuous state space

Linton, Oliver; Srisuma, Sorawoot - London School of Economics (LSE) - 2010

We propose a general two-step estimation method for the structural parameters of popular semiparametric Markovian discrete choice models that include a class of Markovian Games and allow for continuous observable state space. The estimation procedure is simple as it directly generalizes the...

Persistent link: https://www.econbiz.de/10011126717

Mass and Aerodynamic Imbalance Estimates of Wind Turbines

Niebsch, Jenny; Ramlau, Ronny; Nguyen, Thien T. - In: Energies 3 (2010) 4, pp. 696-710

analytically. The inverse problem,<em> i.e.</em>, the calculation of the mass and aerodynamic imbalance from vibrational data, was …

Persistent link: https://www.econbiz.de/10011031198

Iterative Regularization in Nonparametric Instrumental Regression

Johannes, Jan; Van Bellegem, Sébastien; Vanhems, Anne - Institut d'Économie Industrielle (IDEI), Toulouse … - 2010

estimation of the regression function. The nonparametric estimation by instrumental variables is an illposed linear inverse … problem with an unknown but estimable operator. We provide a new estimator of the regression function using an iterative …

Persistent link: https://www.econbiz.de/10008492566

Iterative regularization in nonparametric instrumental regression

JOHANNES, Jan; VAN BELLEGEM, Sébastien; VANHEMS, Anne - Center for Operations Research and Econometrics (CORE), … - 2010

estimation of the regression function. The nonparametric estimation by instrumental variables is an ill-posed linear inverse … problem with an unknown but estimable operator. We provide a new estimator of the regression function using an iterative …

Persistent link: https://www.econbiz.de/10008836152

Semiparametric Estimation of Markov Decision Processeswith Continuous State Space

Linton, Oliver; Srisuma, Sorawoot - Suntory and Toyota International Centres for Economics … - 2010

We propose a general two-step estimation method for the structural parameters ofpopular semiparametric Markovian discrete choice models that include a class ofMarkovian Games andallow for continuous observable state space. The estimation procedure is simpleas it directly generalizes the...

Persistent link: https://www.econbiz.de/10008838733

Estimation of the characteristics of a Lévy process observed at arbitrary frequency

Kappus, Johanna; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

Persistent link: https://www.econbiz.de/10008629514

Iterative Regularization in Nonparametric Instrumental Regression

Johannes, Jan; Van Bellegem, Sébastien; Vanhems, Anne - Toulouse School of Economics (TSE) - 2010

Persistent link: https://www.econbiz.de/10008643933