Matches in SemOpenAlex for { <https://semopenalex.org/work/W2938215358> ?p ?o ?g. }
Showing items 1 to 67 of
67
with 100 items per page.
- W2938215358 abstract "In this paper, we consider inference problem about the drift parameter vector in generalized mean reverting processes with multiple and unknown change-points. In particular, we study the case where the parameter may satisfy uncertain restriction. As compared to the results in literature, we generalize some findings in five ways. First, we consider the model which incorporates the uncertain prior knowledge. Second, we derive the unrestricted estimator (UE) and the restricted estimator (RE) and we study their asymptotic properties. Third, we derive a test for testing the hypothesized restriction and we derive its asymptotic local power. We also prove that the proposed test is consistent. Fourth, we construct a class of shrinkage type estimators (SEs) which encloses the UE, the RE and classical SEs. Fifth, we derive the relative risk dominance of the proposed estimators. More precisely, we prove that the SEs dominate the UE. Finally, we present some simulation results which corroborate the established theoretical findings." @default.
- W2938215358 created "2019-04-25" @default.
- W2938215358 creator A5023617931 @default.
- W2938215358 creator A5042573763 @default.
- W2938215358 date "2019-01-01" @default.
- W2938215358 modified "2023-09-25" @default.
- W2938215358 title "Improved inference in generalized mean-reverting processes with multiple change-points" @default.
- W2938215358 cites W1491711721 @default.
- W2938215358 cites W1883838992 @default.
- W2938215358 cites W1975684011 @default.
- W2938215358 cites W2001040001 @default.
- W2938215358 cites W2002630542 @default.
- W2938215358 cites W2014820345 @default.
- W2938215358 cites W2042190395 @default.
- W2938215358 cites W2067412860 @default.
- W2938215358 cites W2067418529 @default.
- W2938215358 cites W2072982253 @default.
- W2938215358 cites W2091636333 @default.
- W2938215358 cites W2168175751 @default.
- W2938215358 cites W2538676990 @default.
- W2938215358 cites W2549066937 @default.
- W2938215358 doi "https://doi.org/10.1214/19-ejs1548" @default.
- W2938215358 hasPublicationYear "2019" @default.
- W2938215358 type Work @default.
- W2938215358 sameAs 2938215358 @default.
- W2938215358 citedByCount "3" @default.
- W2938215358 countsByYear W29382153582019 @default.
- W2938215358 countsByYear W29382153582021 @default.
- W2938215358 countsByYear W29382153582022 @default.
- W2938215358 crossrefType "journal-article" @default.
- W2938215358 hasAuthorship W2938215358A5023617931 @default.
- W2938215358 hasAuthorship W2938215358A5042573763 @default.
- W2938215358 hasBestOaLocation W29382153581 @default.
- W2938215358 hasConcept C105795698 @default.
- W2938215358 hasConcept C154945302 @default.
- W2938215358 hasConcept C185429906 @default.
- W2938215358 hasConcept C2776214188 @default.
- W2938215358 hasConcept C28826006 @default.
- W2938215358 hasConcept C33923547 @default.
- W2938215358 hasConcept C41008148 @default.
- W2938215358 hasConceptScore W2938215358C105795698 @default.
- W2938215358 hasConceptScore W2938215358C154945302 @default.
- W2938215358 hasConceptScore W2938215358C185429906 @default.
- W2938215358 hasConceptScore W2938215358C2776214188 @default.
- W2938215358 hasConceptScore W2938215358C28826006 @default.
- W2938215358 hasConceptScore W2938215358C33923547 @default.
- W2938215358 hasConceptScore W2938215358C41008148 @default.
- W2938215358 hasIssue "1" @default.
- W2938215358 hasLocation W29382153581 @default.
- W2938215358 hasLocation W29382153582 @default.
- W2938215358 hasOpenAccess W2938215358 @default.
- W2938215358 hasPrimaryLocation W29382153581 @default.
- W2938215358 hasRelatedWork W2076659719 @default.
- W2938215358 hasRelatedWork W2084945960 @default.
- W2938215358 hasRelatedWork W2091749162 @default.
- W2938215358 hasRelatedWork W2333391021 @default.
- W2938215358 hasRelatedWork W2552050053 @default.
- W2938215358 hasRelatedWork W2595992028 @default.
- W2938215358 hasRelatedWork W3047914590 @default.
- W2938215358 hasRelatedWork W3121508428 @default.
- W2938215358 hasRelatedWork W4234996786 @default.
- W2938215358 hasRelatedWork W4246220481 @default.
- W2938215358 hasVolume "13" @default.
- W2938215358 isParatext "false" @default.
- W2938215358 isRetracted "false" @default.
- W2938215358 magId "2938215358" @default.
- W2938215358 workType "article" @default.