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Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods

Mickel, Annalena; Neuenkirch, Andreas - In: The journal of computational finance 26 (2023) 4, pp. 67-100

Persistent link: https://www.econbiz.de/10014342066

Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods

Mickel, Annalena; Neuenkirch, Andreas - In: The journal of computational finance : JFC 26 (2023) 4, pp. 67-100

Persistent link: https://www.econbiz.de/10014486902

Optimal global rates of convergence for noiseless regression estimation problems with adaptively chosen design

Kohler, Michael - In: Journal of Multivariate Analysis 132 (2014) C, pp. 197-208

whole Rd is considered. Here the estimate has to be defined such that the L1 error of the estimate (with integration with … speaking, m is p-times continuously differentiable) it is shown that the optimal minimax rate of convergence of the L1 error is …

Persistent link: https://www.econbiz.de/10011041955

Optimal global rates of convergence for interpolation problems with random design

Kohler, Michael; Krzyżak, Adam - In: Statistics & Probability Letters 83 (2013) 8, pp. 1871-1879

function m:Rd→R without additional errors, we are interested in estimating m on whole Rd such that the L1 error (with … and upper bounds on the L1 error. …

Persistent link: https://www.econbiz.de/10011039918

L1-consistent estimation of the density of residuals in random design regression models

Devroye, Luc; Felber, Tina; Kohler, Michael; Krzyżak, Adam - In: Statistics & Probability Letters 82 (2012) 1, pp. 173-179

model, where the error is assumed to be independent of the design variable. Our main result is that the L1 error of the …

Persistent link: https://www.econbiz.de/10011040025