On improved estimation in a conditionally Gaussian regression
Résumé
The paper considers the problem of estimating a $p\geq2$\ dimensional mean vector of a multivariate conditionally normal distribution under quadratic loss. The problem of this type arises when estimating the parameters in a continuous time regression model with a non-Gaussian Ornstein--Uhlenbeck process driven by the mixture of a Brownian motion and a compound Poisson process.
Fichier principal
Impr_PE_25_05_11.pdf (145.82 Ko)
Télécharger le fichier
Figure2.png (3.85 Ko)
Télécharger le fichier
Origine | Fichiers produits par l'(les) auteur(s) |
---|
Format | Figure, Image |
---|
Loading...