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Weighted least-squares estimators of tail indices
Weighted least-squares estimators tail indices
2009/9/22
We propose a class of weighted least-squares estimators
for the tail index of a regularly varying upper tail of a distribution.
Universal asymptotic normality of the estimators is established over
...
Consistencies and rates of convergence of jump-penalized least squares estimators
Jump detection adaptive estimation penalized maximum likelihood approximation spaces change-point analysis multiscale resolution analysis
2010/3/18
We study the asymptotics for jump-penalized least squares regression
aiming at approximating a regression function by piecewise
constant functions. Besides conventional consistency and convergence
...