搜索结果: 1-15 共查到“理论统计学 Noise”相关记录26条 . 查询时间(0.029 秒)
EigenPrism:Inference for High-Dimensional Signal-to-Noise Ratios
EigenPrism High-Dimensional Signal Noise Ratios
2015/6/17
Consider the following three important problems in statistical inference, namely, constructing confidence intervals for (1) the error of a high-dimensional (p > n) regression estimator, (2) the linear...
Impulsive Noise Mitigation in Powerline Communications Using Sparse Bayesian Learning
Asynchronous impulsive noise cyclostationary noise PLC OFDM sparse Bayesian learning
2013/4/27
Additive asynchronous and cyclostationary impulsive noise limits communication performance in OFDM powerline communication (PLC) systems. Conventional OFDM receivers assume additive white Gaussian noi...
Residual variance and the signal-to-noise ratio in high-dimensional linear models
Asymptoticnormality,high-dimensionaldataanalysis Poincar!a inequality randommatrices residualvariance signal-to-noiseratio
2012/11/21
Residual variance and the signal-to-noise ratio are important quantities in many statistical models and model fitting procedures. They play an important role in regression diagnostics, in determining ...
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Density estimation Kullback–Leibler divergence
2011/7/6
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model.
Robust Adaptive Rate-Optimal Testing for the White Noise Hypothesis
Noise Hypothesis HAC Inference Automatic nonparametric tests Adaptive rate-optimality
2011/7/5
A new test is proposed for the weak white noise null hypothesis. The test is based on an automatic choice of the order for a Box-Pierce or Hong test statistic.
Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
Strictly stationary solutions multivariate ARMA equations i.i.d. noise
2011/6/17
We obtain necessary and sufficient conditions for the existence of strictly stationary
solutions of multivariate ARMA equations with independent and identically
distributed noise. For general ARMA(p...
Limit theorems for moving averages of discretized processes plus noise
Central limit theorem high-frequency observations microstructure noise
2010/10/14
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pre-averaging approac...
Parameter estimations for SPDEs with multiplicative fractional noise
Asymptotic normality parameter estimation stochastic PDE multiplicative noise singular models
2010/3/11
We study parameter estimation problem for diagonalizable parabolic stochastic partial
differential equations driven by a multiplicative fractional noise with any Hurst parameter H 2
(0, 1). Two clas...
Lower bounds for volatility estimation in microstructure noise models
Brownian motion Variance estimation Kullback-Leibler divergence Minimaxrate Microstructure noise
2010/3/10
In this paper we derive lower bounds in minimax sense for estimation of the instantaneous
volatility if the diffusion type part cannot be observed directly but under
some additional Gaussian noise. ...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatilityestimation Le Cam deficiency equivalence of experiments
2010/3/9
The basic model for high-frequency data in finance is considered,
where an efficient price process is observed under microstructure noise.
It is shown that this nonparametric model is in Le Cam’s se...
Coherence-Based Performance Guarantees for Estimating a Sparse Vector Under Random Noise
Coherence-Based Performance Guarantees Sparse Vector Random Noise
2010/3/19
We consider the problem of estimating a deterministic
sparse vector x0 from underdetermined measurements
Ax0 + w, where w represents white Gaussian noise and A is
a given deterministic dictionary. ...
Driving noise of a finite state Markov process
Driving noise a finite state Markov process
2009/9/23
Driving noise of a finite state Markov process。
Operator valued stochastic control in Fock space with applications to orbit tracking and noise filtering
Operator valued stochastic control Fock space applications to orbit tracking
2009/9/22
The control process that minimizes the quadratic performance
functional associated with a quantum system whose evolution
is described by a Hudson-Parthasarathy type stochastic differential
equation...
Stochastic evolutions driven by non-linear white noise
Stochastic evolutions non-linear white noise
2009/9/21
We prove the existence and uniqueness theorem for
stochastic differential equation8 with bounded coefficients driven by
the renormalized square of white noise. These equations are interpreted
as se...
Central limit theorem for Gaussian incompressible additional Brownian noise
Weak convergence random process Gaussian field incompressible flow diffusion
2009/9/21
We generalize the result of Komorowski and Papanicolaou
published in [I.W e consider the solution of stochastic differentid
equation dX(t) = V(t, x (t)) dt + (t), where E (2) is a standard
d-dimens...