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Wavelet-variance-based estimation for composite stochastic processes

Publications associées (56)

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Robust Value at Risk Prediction

Loriano Mancini, Fabio Trojani

This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a robustified resampling scheme for GARCH residuals that contr ...

Oxford University Press2011

Robust Multivariate and Nonlinear Time Series Models

Time series modeling and analysis is central to most financial and econometric data modeling. With increased globalization in trade, commerce and finance, national variables like gross domestic productivity (GDP) and unemployment rate, market variables lik ...

EPFL2010

Distributed Sampling of Signals Linked by Sparse Filtering: Theory and Applications

Martin Vetterli, Olivier Roy, Yue Lu, Ali Hormati

We study the distributed sampling and centralized reconstruction of two correlated signals, modeled as the input and output of an unknown sparse filtering operation. This is akin to a Slepian-Wolf setup, but in the sampling rather than the lossless compres ...

2010

Variance Stabilizing the Difference of Two Binomial Proportions

Stephan Morgenthaler, Robert Staudte

The article studies estimation of Delta = p(1) - p(2), the difference of two proportions p(1) and p(2), based on two independent Binomial experiments of size n(1) and n(2). The usual estimator, the difference between the two sample proportions, is variance ...

American Statistical Association2010

Impulse Radio Ultra-WideBand ranging and localization for sensor networks

Hai Zhan

In this thesis, we focus on Impulse Radio (IR) Ultra-WideBand (UWB) ranging and positioning techniques under indoor propagation environments. IR-UWB, a new carrierless communication scheme using impulses, is a candidate technology for future communication, ...

EPFL2009

A moving horizon scheme for distributed state estimation

Giancarlo Ferrari Trecate, Marcello Farina

This paper presents a novel distributed estimation algorithm based on the concept of moving horizon estimation. Under weak observability conditions we prove convergence of the state estimates computed by any sensor to the correct state even when constraint ...

2009

A moving horizon scheme for distributed state estimation

Giancarlo Ferrari Trecate, Marcello Farina

2009

Les mathématiques financières robustes, le maritime et les FFA

Jérôme Reboulleau

Powerful mathematical tools have been developed for trading in stocks and bonds, but other markets that are equally important for the globalized world have to some extent been neglected. We decided to study the shipping market as an new area of development ...

EPFL2008

A general framework for the identification of jump Markov linear systems

Giancarlo Ferrari Trecate

This paper concerns parameter identification for the class of jump Markov linear systems. We present recursive formulae for the computation of the second-order statistics of a jump Markov process and discuss their application to the estimation of the model ...

2007

A general framework for the identification of jump Markov linear systems

Giancarlo Ferrari Trecate

2007