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Browsing by Author "Spokoiny, Vladimir"
Now showing items 21-27 of 27
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2011-11-10DiskussionspapierSparse Non Gaussian Component Analysis by Semidefinite Programming Diederichs, Elmar; Juditsky, Anatoli; Nemirovski, Arkadi; Spokoiny, VladimirSparse non-Gaussian component analysis (SNGCA) is an unsupervised method of extracting a linear structure from a high dimensional data based on estimating a low-dimensional non-Gaussian data component. In this paper we ...
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2006-04-28DiskussionspapierSpatial aggregation of local likelihood estimates with applications to classification Belomestny, Denis; Spokoiny, VladimirThis paper presents a new method for spatially adaptive local likelihood estimation which applies to a broad class of nonparametric models, including the Gaussian, Poisson and binary response models. The main idea of ...
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2002-07-04BuchStatistical inference for time-inhomogeneous volatility models Mercurio, Danilo; Spokoiny, Vladimir
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2001-01-26BuchTime Inhomogeneous Multiple Volatility Modelling Härdle, Wolfgang Karl; Herwartz, Helmut; Spokoiny, Vladimir
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2005-09-14BuchVariance Estimation for High-Dimensional Regression Models Spokoiny, Vladimir
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2006-04-25DiskussionspapierVarying coefficient GARCH versus local constant volatility modeling Polzehl, Jörg; Spokoiny, VladimirGARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is ...
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2006-04-26DiskussionspapierWhen did the 2001 recession really start? Polzehl, Jörg; Spokoiny, Vladimir; Stărică, CătălinThe paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study ...