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A Robust, Fully Adaptive M-estimator for Pointwise Estimation in Heteroscedastic Regression
Adaptation Huber contrast Lepski’s method M-estimation minimax estimation nonparamet-ric regression pointwise estimation robust estimation.
2012/9/19
We introduce a robust and fully adaptive method for pointwise estimation in heteroscedastic regression. We allow for noise and design distributions that are unknown and fulfill very weak assumptions o...
Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
adaptive pointwise estimation autoregressive models conditional heteroscedasticity models local time-homogeneity
2010/3/19
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. Our general local parametric approach
particular...