Results 111 to 120 of about 6,417 (238)
Modern Nonparametric Statistics: Going Beyond Asymptotic Minimax
, 2010 During the years 1975-1990 a major emphasis in nonparametric estimation was put on computing the asymptotic minimax risk for many classes of functions. Modern statistical practice indicates some serious limitations of the asymptotic minimax approach and ...
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Numerical methods for linear minimax estimation
, 1998 We discuss two numerical approaches to linear minimax estimation in linear models under ellipsoidal parameter restrictions. The first attacks the problem directly, by minimizing the maximum risk among the estimators.
Gaffke, N. +2 more
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Minimax Optimality of CUSUM for an Autoregressive Model [PDF]
Different change point models for AR(1) processes are reviewed. For some models, the change is in the distribution conditional on earlier observations. For others the change is in the unconditional distribution.
Knoth, Sven, Frisén, Marianne
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Novel first-order methods for bilevel and minimax optimization.
University of Minnesota Ph.D. dissertation. May 2025. Major: Industrial and Systems Engineering. Advisor: Zhaosong Lu. 1 computer file (PDF); vii, 188 pages.Bilevel and minimax optimization problems arise in various fields, including machine learning ...
Mei, Sanyou
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Nonparametric estimation of the volatility under microstructure noise: wavelet adaptation
We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data are blurred by additional noise. This noise can be white or correlated, and serves as a model for microstructure effects in financial ...
Hoffmann, Marc +2 more
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Stochastic programming models and methods for portfolio optimization and risk management
, 2012 This project is focused on stochastic models and methods and their application in portfolio optimization and risk management. In particular it involves development and analysis of novel numerical methods for solving these types of problem.
Meskarian, Rudabeh
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DESIGN-ADAPTIVE POINTWISE NONPARAMETRIC REGRESSION ESTIMATION FOR RECURRENT MARKOV TIME SERIES [PDF]
A general framework is proposed for (auto)regression nonparametric estimation of recurrent time series in a class of Hilbert Markov processes with a Lipschitz conditional mean.
Guerre
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, 2004 Spectral methods for nonlinear dimensionality reduction (NLDR) impose a neighborhood graph on point data and compute eigenfunctions of a quadratic form generated from the graph. We introduce a more general and more robust formulation of NLDR based on the
Matthew Brand
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Interval-Parameter Robust Minimax-regret Programming and Its Application to Energy and Environmental Systems Planning [PDF]
, 2009 In this study, an interval-parameter robust minimax-regret programming method is developed and applied to the planning of energy and environmental systems.
Huang +8 more
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