Bayesian quickest change detection for unnormalized and score-based models. (English) Zbl 07928087
MSC:
62Lxx
Found 89 Documents (Results 1–89)
Truncated sequential change-point detection for Markov chains with applications in the epidemic statistical analysis. (English) Zbl 07798884
Super-efficient robust estimation in Lévy continuous time regression models from discrete data. (English) Zbl 07795528
Parameter estimation in optional semimartingale regression models. (English) Zbl 07757623
MSC:
62-XX
Quickest physical watermarking-based detection of measurement replacement attacks in networked control systems. (English) Zbl 1516.93094
Improved estimation method for high dimension semimartingale regression models based on discrete data. (English) Zbl 07594032
Adaptive efficient estimation for generalized semi-Markov big data models. (English) Zbl 07572407
MSC:
62-XX
Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty. (English) Zbl 1493.62483
Minimax and pointwise sequential changepoint detection and identification for general stochastic models. (English) Zbl 1520.62101
Efficient estimation methods for non-Gaussian regression models in continuous time. (English) Zbl 07473257
MSC:
62-XX
Statistical analysis of multivariate discrete-valued time series. (English) Zbl 1482.62090
Reviewer: B. L. S. Prakasa Rao (Hyderabad)
Confidence estimation of autoregressive parameters based on noisy data. (English. Russian original) Zbl 1471.93261
Autom. Remote Control 82, No. 6, 1030-1048 (2021); translation from Avtom. Telemekh. 2021, No. 6, 124-148 (2021).
MSC:
93E10
Model selection for the robust efficient signal processing observed with small Lévy noise. (English) Zbl 1465.62051
Sequential fixed accuracy estimation for nonstationary autoregressive processes. (English) Zbl 1442.62186
Reviewer: Krzysztof J. Szajowski (Wrocław)
Improved model selection method for an adaptive estimation in semimartingale regression models. (English) Zbl 1497.62100
Adaptive estimation in a heteroscedastic nonparametric regression. (Russian. English summary) Zbl 1497.62099
Improved robust model selection methods for a Lévy nonparametric regression in continuous time. (English) Zbl 1423.62029
Robust adaptive efficient estimation for semi-Markov nonparametric regression models. (English) Zbl 1420.62168
Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations. (English) Zbl 1392.62276
Kullback-Leibler approach to CUSUM quickest detection rule for Markovian time series. (English) Zbl 1431.62378
Reviewer: Krzysztof J. Szajowski (Wrocław)
Truncated estimation of ratio statistics with application to heavy tail distributions. (English) Zbl 1409.62103
Reviewer: Wiesław Dziubdziela (Miedziana Gora)
Estimating parameters in a regression model with dependent noises. (Russian. English summary) Zbl 07607618
On an algorithm for calculating optimal strategies on an infinite time interval. (Russian. English summary) Zbl 07607596
On sequential confidence estimation of parameters of stochastic dynamical systems with conditionally Gaussian noises. (English. Russian original) Zbl 1387.93158
Autom. Remote Control 78, No. 10, 1803-1818 (2017); translation from Avtom. Telemekh. 2017, No. 10, 90-108 (2017).
Non-asymptotic confidence estimation of the parameters in stochastic regression models with Gaussian noises. (English) Zbl 1362.60041
On one property of martingales with conditionally Gaussian increments and its application in the theory of nonasymptotic inference. (English. Russian original) Zbl 1362.60042
Dokl. Math. 94, No. 3, 676-680 (2016); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 471, No. 5, 523-527 (2016).
On sequential estimation of the parameters of continuous-time trigonometric regression. (English. Russian original) Zbl 1346.93356
Autom. Remote Control 77, No. 6, 992-1008 (2016); translation from Avtom. Telemekh. 2016, No. 6, 61-80 (2016).
On sequential estimation of a periodic signal on the background of an autoregressive noise. (Russian. English summary) Zbl 07607522
Efficient pointwise estimation based on discrete data in ergodic nonparametric diffusions. (English) Zbl 1342.60132
Robust model selection for a semimartingale continuous time regression from discrete data. (English) Zbl 1298.62067
Minimax estimation of the Gaussian parametric regression. (Russian. English summary) Zbl 07604773
On a class of reserved devices. (Russian. English summary) Zbl 1518.90023
Reviewer: Tatiana Mamedova (Saransk)
Guaranteed estimation of logarithmic density derivative by dependent observations. (English) Zbl 1383.62091
Akritas, Michael G. (ed.) et al., Topics in nonparametric statistics. Proceedings of the first conference of the International Society for Nonparametric Statistics, ISNPS, Chalkidiki, Greece, June 15–19, 2012. New York, NY: Springer (ISBN 978-1-4939-0568-3/hbk; 978-1-4939-0569-0/ebook). Springer Proceedings in Mathematics & Statistics 74, 347-356 (2014).
MSC:
62G05
Authors’ response. (English) Zbl 1291.62152
Discussion on “Sequential estimation for time series models” by T. N. Sriram and Ross Iaci. (English) Zbl 1291.62144
On the sequential estimation of parameters in a continuous autoregression model. (Russian. English summary) Zbl 1508.93291
Two problems of dynamic redundancy. (Russian. English summary) Zbl 07607437
Asymptotic properties of the LS-estimator of a Gaussian autoregressive process by an averaging method. (English) Zbl 1281.62195
Non-parametric sequential estimation of a regression function based on dependent observations. (English) Zbl 1294.62065
Asymptotic parameter estimation for a class of linear stochastic systems using Kalman-Bucy filtering. (English) Zbl 1264.93235
Asymptotically optimal parameter estimation under communication constraints. (English) Zbl 1297.62182
Efficient robust nonparametric estimation in a semimartingale regression model. (English. French summary) Zbl 1282.62102
The James-Stein procedure for a conditionally Gaussian regression. (Russian. English summary) Zbl 07604984
Stochastic approximation and compound delayed observations with independent random time delay distribution. (English) Zbl 1296.62159
MSC:
62L20
Adaptive sequential estimation for ergodic diffusion processes in quadratic metric. (English) Zbl 1359.62123
On asymptotic normality of sequential LS-estimates of unstable autoregressive processes. (English) Zbl 1215.62081
General model selection estimation of a periodic regression with a Gaussian noise. (English) Zbl 1432.62075
Sequential analysis of longitudinal data in a prospective nested case-control study. (English) Zbl 1233.62147
On asymptotic normality of sequential LS-estimate for unstable autoregressive process \(AR(2)\). (English) Zbl 1198.62076
On guaranteed parameter estimation of a multiparameter linear regression process. (English) Zbl 1193.93167
Nonparametric estimation in a semimartingale regression model. II: Robust asymptotic efficiency. (English) Zbl 1507.62245
Non-parametric estimation in a semimartingale regression model. I: Oracle inequalities. (English) Zbl 1507.62244
Truncated sequential estimation of the parameter of a first order autoregressive process with dependent noises. (English) Zbl 1282.62042
Asymptotic properties of an estimator of the drift coefficients of multidimensional Ornstein-Uhlenbeck processes that are not necessarily stable. (English) Zbl 1320.62192
Successive identification of the random-parameter linear dynamic system. (English. Russian original) Zbl 1155.93437
Autom. Remote Control 69, No. 8, 1344-1356 (2008); translation from Avtom. Telemekh. 2008, No. 8, 82-95 (2008).
On parameter estimation of stochastic delay differential equations with guaranteed accuracy by noisy observations. (English) Zbl 1130.34058
Reviewer: Zhichun Yang (Chongqing)
Estimating mark functions through spectral analysis for marked point patterns. (English) Zbl 1113.60052
Reviewer: Viktor Oganyan (Erevan)
Bernstein–Frechet inequalities for the parameter of the first order autoregressive process. (English. Abridged French version) Zbl 1061.62132
On uniform asymptotic normality of sequential least squares estimators for the parameters in a stable AR(\(p\)). (English) Zbl 1110.62107
On uniform asymptotic normality of sequential estimators for the parameters in a stable AR(1). (English) Zbl 1098.62546
Sequential estimation in stochastic approximation problem with autoregressive errors in observations. (English) Zbl 1052.93064
Reviewer: Vlasta Kaňková (Praha)
On sequential estimation of parameters in semimartingale regression models with continuous time parameter. (English) Zbl 1043.62067
Sequential confidence regions of generalized linear models with adaptive designs. (English) Zbl 0965.62064
Nonparametric estimation of the ratios of derivatives of a multivariate distribution density from dependent observations. (English. Russian original) Zbl 0955.62039
Sib. Math. J. 41, No. 2, 229-245 (2000); translation from Sib. Mat. Zh. 41, No. 2, 284-303 (2000).
Reviewer: D.A.Korshunov (Novosibirsk)
Guaranteed parameter estimation in a first-order autoregressive process with infinite variance. (English) Zbl 0953.62095
Deviation probability bound for martingales with applications to statistical estimation. (English) Zbl 0953.62080
Reviewer: Yurii Lin’kov (Donetsk)
Sequential generalized least squares estimator for an autoregressive parameter. (English) Zbl 0879.62072
On uniform integrability and asymptotically risk-efficient sequential estimation. (English) Zbl 0876.62069
On optimality of the fixed-accuracy estimate of the parameter in an explosive autoregressive process of the first order. (English) Zbl 0774.62090
Reviewer: Z.Rychlik (Lublin)
On truncated sequential estimation of the drifting parameter mean in the first order autoregressive models. (English) Zbl 0704.62064
Truncated sequential estimation of the parameters in a random regression. (English) Zbl 0698.62080
Reviewer: Z.Rychlik
A sequential method of estimating parameters of random fields. (English. Russian original) Zbl 0652.62079
J. Sov. Math. 41, No. 1, 816-821 (1988); translation from Statistical methods for estimating and testing hypotheses, Interuniv. Collect. sci. Works, Perm’ 1984, 59-70 (1984).
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