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Di€usion approximation for nonparametric autoregression
Nonparametric experiments de® ciency distance likelihood ratio process stochastic di€ erential equation autoregression di€ usion sampling asymptotic su ciency
2015/8/25
A nonparametric statistical model of small di€usion type is compared with its discretization by a stochastic Euler di€erence scheme. It is shown that the discrete and continuous models are a...
Kernel density estimation via diffusion and the complex exponentials approximation problem
condensed density random matrices parabolic PDE
2012/6/21
A kernel method is proposed to estimate the condensed density of the generalized eigenvalues of pencils of Hankel matrices whose elements have a joint noncentral Gaussian distribution with nonidentica...