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A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
Financial time series Wavelet decomposition Fuzzy regression SP500 index
2011/3/25
In the present paper, a fuzzy logic based method is combined with wavelet decomposition to develop a step-by-step dynamic hybrid model for the estimation of financial time series. Empirical tests on ...
Adaptive Thresholding for Sparse Covariance Matrix Estimation
constrained ℓ 1 minimization covariance matrix Frobenius norm Gaus-sian graphical model rate of convergence precision matrix spectral norm
2011/3/21
In this paper we consider estimation of sparse covariance matrices and propose a thresholding procedure which is adaptive to the variability of individual entries. The estimators are fully data driven...
A Constrained L1 Minimization Approach to Sparse Precision Matrix Estimation
constrained ℓ 1 minimization covariance matrix Frobenius norm Gaus-sian graphical model rate of convergence precision matrix spectral norm
2011/3/21
A constrained L1 minimization method is proposed for estimating a sparse inverse covariance matrix based on a sample of $n$ iid $p$-variate random variables. The resulting estimator is shown to enjoy ...
Robust Retrospective Multiple Change-point Estimation for Multivariate Data
Change-point estimation multivariate data Kruskal-Wallis test robust statistics joint segmentation
2011/3/18
We propose a non-parametric statistical procedure for detecting multiple change-points in multidimensional signals. The method is based on a test statistic that generalizes the well-known Kruskal-Wall...
Smoothed log-concave maximum likelihood estimation with applications
Classification Functional estimation Log-concave maximum likelihood estimation Log-concavity Smoothing
2011/3/18
We study the smoothed log-concave maximum likelihood estimator of a probability distribution on $\mathbb{R}^d$. This is a fully automatic nonparametric density estimator, obtained as a canonical smoot...
Joint estimation of intersecting context tree models
Context Tree Models Variable Length Markov Chains Penalized Maximum Likelihood joint estimation
2011/3/18
Data produced by two different sources is classified using variable length Markov chains. In many realistic situations it is conceiveable that the probabilistic context trees corresponding to the two ...
Asymptotically optimal parameter estimation under quantization constraints
Asymptotically quantization constraints parameter estimation
2011/3/18
The problem of decentralized parameter estimation is considered for diffusion-type processes whose drift coefficients are linear with respect to the unknown parameter. This problem is motivated by app...
Geometry of maximum likelihood estimation in Gaussian graphical models
Statistics Theory (math.ST) Algebraic Geometry (math.AG) Optimization and Control (math.OC)
2010/12/17
We study maximum likelihood estimation in Gaussian graphical models from a geometric point of view. An algebraic elimination criterion allows us to find exact lower bounds on the number of observation...
Sparse Inverse Covariance Estimation via the Split Bregman Method
Machine Learning (stat.ML) Learning (cs.LG)
2010/12/17
We consider the problem of learning the structure of graphical models by estimating the inverse covariance matrix with sparsity regularization. We develop a new method based on split Bregman to solve ...
Adaptive Density Estimation in the Pile-up Model Involving Measurement Errors
Adaptive nonparametric estimation Deconvolution Fluorescence lifetimes
2010/11/8
Motivated by fluorescence lifetime measurements this paper considers the problem of nonparametric density estimation in the pile-up model. Adaptive nonparametric estimators are proposed for the pile-u...
A multicriteria approach to model specification and estimation
Model specificauon Set-valued estimation Multlcritena decision making Efficiency
2010/11/5
A multicriteria approach to model specification and estimation.
In linear regression problems with related predictors, it is desir-able to do variable selection and estimation by maintaining the hi-erarchical or structural relationships among predictors. In this p...
Efficient robust nonparametric estimation in a semimartingale regression model
Non-asymptotic estimation Robust risk Model selection
2010/10/19
The paper considers the problem of robust estimating a periodic function in a continuous time regression model with dependent disturbances given by a general square integrable semimartingale with unk...
A statistical framework is introduced for a broad class of problems involving synchronization or registration of data across a sensor network in the presence of noise. This framework enables an estim...
Nonparametric estimation of the local Hurst function of multifractional processes
Nonparametric estimators Hurst function tangent process
2010/10/19
Consistency, almost sure convergence and central limit theorems are provided for two nonparametric estimators of the local Hurst function of Gaussian multifractional processes. In the case of multifr...