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Asymptotic Equivalence of Spectral Density Estimation and Gaussian White Noise
Stationary Gaussian process spectral density Sobolev classes Le Cam distance asymptotic equivalence Whittle likelihood log-periodogram regression nonparametric Gaussian scale model signal in Gaussian white noise
2015/8/25
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence, in the sense of Le Cam’s...
ASYMPTOTIC EQUIVALENCE OF SPECTRAL DENSITY ESTIMATION AND GAUSSIAN WHITE NOISE
ASYMPTOTIC EQUIVALENCE SPECTRAL DENSITY ESTIMATION GAUSSIAN WHITE NOISE
2015/8/25
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary Gaussian process with an unknown smooth spectral density f . Asymptotic equivalence, in the sense of Le Cam’...
Maximum likelihood estimation of a nonparametric signal in white noise by optimal control
Nonparametric signal in white noise Maximum likelihood Smoothness classes Extremal problems Optimal control Iterative solution
2015/8/25
We study extremal problems related to nonparametric maximum likelihood estimation (MLE) of a signal in white noise.The aim is to reduce these to standard problems of optimal control which can be solve...
ASYMPTOTIC EQUIVALENCE OF DENSITY ESTIMATION AND GAUSSIAN WHITE NOISE
ASYMPTOTIC EQUIVALENCE DENSITY ESTIMATION GAUSSIAN WHITE NOISE
2015/8/25
Signal recovery in Gaussian white noise with variance tending to zero has served for some time as a representative model for nonparametric curve estimation, having all the essential traits in a pure f...
Asymptotic Equivalence of Density Estimation and Gaussian White Noise
Asymptotic Equivalence Density Estimation Gaussian White Noise
2015/8/25
Signal recovery in Gaussian white noise with variance tending to zero has served for some time as a representative model for nonparametric curve estimation, having all the essential traits in a pure f...
Multiplicative white noise functionals and the Krylov-Veretennikov expansion for coalescing stochastic flows
Krylov-Veretennikov expansion coalescing stochastic flows Probability
2011/9/20
Abstract: In this article we consider multiplicative operator-valued white noise functionals related to a stochastic flow. A generalization of the Krylov-Veretennikov expansion is presented. An analog...
A White Noise Approach to Phase Space Feynman Path Integrals
White Noise Analysis Feynman Integrals Mathematical Physics
2011/1/18
The concepts of phase space Feynman integrals in White Noise Analysis are established.As an example the harmonic oscillator is treated. The approach perfectly reproduces the right physics. I.e. , solu...
On the kernel of the Black-Scholes equation in the Form of white noise
Black-Scholes equation white noise kernel
2010/9/25
In this paper, we study the well known equation which is the Black-Scholes equation in the form of white noise. We found the kernel of such equation and obtained some interesting properties of such ke...
GENERALIZED HANKEL OPERATORS ON THE WHITE NOISE DISTRIBUTIONS
Infinite dimensional entire functions with growth condition generalized Hankel operators and associated form symbol of operators
2008/11/26
In this paper we introduce and investigate Hankel operators on infinite dimensional
entire functionals with growth conditions. First, we prove that this generalized Hankel
operator is well defined a...