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Items for "maximum likelihood estimation"

The cross-validated adaptive epsilon-net estimator

Suppose that we observe a sample of independent and identically distributed realizations of a random variable, and a parameter of interest can be defined as the minimizer, over a suitably defined parameter set, of the expectation of a (loss) function of a candidate parameter value and the random variable...

Keywords: adaption, covering number, cross-validation, loss function, maximum likelihood estimation

03/2006 | Statistics & Decisions, Oldenbourg Wissenschaftsverlag

Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise

We give sufficient conditions under which dynamical system with small fractional Brownian noise generates a set of regular statistical experiments in a sense of Ibragimov and Has'minskii's definition...

Keywords: maximum likelihood estimation, fractional Brownian noise, dynamical system with small noise, Regularity, strong consistency, uniform asymptotical normality

12/2006 | Random Operators and Stochastic Equations, Walter de Gruyter

Characterizing wood fiber and particle length with a mixture distribution and a segmented distribution

The length data from 12 samples of wood fibers and particles were described using lognormal and Weibull distributions...

Keywords: goodness-of-fit tests, lognormal, maximum likelihood estimation, Q-Q plots, Weibull

03/2007 | Holzforschung, Walter de Gruyter

Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion

Consider a linear stochastic differential equation

With time delay driven by a fractional Brownian motion ...

Keywords: Linear stochastic differential equation, time delay, fractional Ornstein-Uhlenbeck type process, fractional Brownian motion, maximum likelihood estimation, consistency, local asymptotic normality, local asymptotic mixed normality

01/2008 | Random Operators and Stochastic Equations, Walter de Gruyter

∈-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion

We investigate ∈-upper and lower class functions for the maximum likelihood estimator of the drift parameter for stochastic processes satisfying linear stochastic differential equations driven by fractional Brownian motion.

Keywords: Linear stochastic differential equations, fractional Ornstein-Uhlenbeck type process, fractional Brownian motion, maximum likelihood estimation, upper function; lower function

01/2008 | Random Operators and Stochastic Equations, Walter de Gruyter

Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds

In this paper we study an inverse problem for a parabolic partial differential equation...

Keywords: Inverse problem for PDE, maximum likelihood estimation, stochastic differential equation, wavelets

11/2007 | Journal of Inverse and Ill-posed Problems, Walter de Gruyter

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