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  • Search: subject:"Multiple Wiener-Ito integral"
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Year of publication
Subject
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Asymptotics 1 Bayesian Nonparametrics 1 Central limit theorem 1 Completely random measure 1 Convergence in distribution 1 Convergence in total variation 1 Fractional Brownian motion 1 Long memory 1 Malliavin calculus 1 Multiple Wiener-Ito integral 1 Multiple Wiener-Ito integral U-statistics 1 Multiple Wiener-Itô integral 1 Multiple Wiener–Itô integral 1 Path–variance 1 Polynomial regression 1 Random hazard rate 1 Stochastic integral 1 Survival analysis 1 Wiener chaos 1 fractional Brownian motion 1 general autoregressive model 1 least-squares estimator 1 long-memory process 1 multiple Wiener–Itô integral 1 standard Brownian motion 1 stochastic integral 1
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Online availability
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Undetermined 3 Free 1
Type of publication
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Article 3 Book / Working Paper 2
Language
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Undetermined 3 English 2
Author
All
Boutahar, Mohamed 2 Mandrekar, V. 1 Nourdin, Ivan 1 Patterson, R. F. 1 Peccati, Giovanni 1 Poly, Guillaume 1 Prünster, Igor 1
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Institution
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HAL 1 International Centre for Economic Research (ICER) 1
Published in...
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ICER Working Papers - Applied Mathematics Series 1 Statistical Inference for Stochastic Processes 1 Statistics & Probability Letters 1 Stochastic Processes and their Applications 1 Working Papers / HAL 1
Source
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RePEc 5
Showing 1 - 5 of 5
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Limiting distribution of the least squaresestimates in polynomial regression with longmemory noises
Boutahar, Mohamed - HAL - 2006
We give the limiting distribution of the least squares estimator in the polynomial regression model driven by some long memory processes. We prove that with an appropriate normalization, the estimation error converges, in distribution, to a random vector which components are a mixture of...
Persistent link: https://www.econbiz.de/10008794204
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Convergence in total variation on Wiener chaos
Nourdin, Ivan; Poly, Guillaume - In: Stochastic Processes and their Applications 123 (2013) 2, pp. 651-674
part, we assume that each Fn has more specifically the form of a multiple Wiener–Itô integral (of a fixed order) and that …
Persistent link: https://www.econbiz.de/10011065031
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Linear and Quadratic Functionals of RandomHazard rates: an Asymptotic Analysis
Peccati, Giovanni; Prünster, Igor - International Centre for Economic Research (ICER) - 2006
A popular Bayesian nonparametric approach to survival analysis consists in modeling hazard rates as kernel mixtures driven by a completely random measure. In this paper we derive asymptotic results for linear and quadratic functionals of such random hazard rates. In particular, we prove central...
Persistent link: https://www.econbiz.de/10004972509
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General Autoregressive Models with Long-Memory Noise
Boutahar, Mohamed - In: Statistical Inference for Stochastic Processes 5 (2002) 3, pp. 321-333
Persistent link: https://www.econbiz.de/10005391489
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Limit theorems for symmetric statistics of exchangeable random variables
Mandrekar, V.; Patterson, R. F. - In: Statistics & Probability Letters 17 (1993) 2, pp. 157-161
The paper gives a central limit theorem for symmetric statistics of exchangeable random variables using the methods in Dykin and Mandelbaum (Ann. Statist. 11, 1983) and Mandrekar and Rao (Probab. Math. Statist. 10, 1989).
Persistent link: https://www.econbiz.de/10005319935
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