Dokumente Fakultät für Mathematik und Informatik (inkl. GAUSS) nach Gutachter "Dümbgen, Lutz Prof. Dr."
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Jump estimation for noisy blurred step functions
(2006-09-18)We consider the estimation of a step function $f$ from noisy observations of $Kf$, where $K$ is some integral operator with bounded integral Kernel. We use a penalized least squares estimator ... -
Nonparametric Methods in Spot Volatility Estimation
(2011-01-06)This work is devoted to study a model, where we observe a stochastic process X under additional measurement noise. The main objective is to estimate a ``fluctuation measure``, called the volatility/intermittency of ... -
Simultaneous Confidence Statements about the Diffusion Coefficient of an Ito-Process with Application to Spot Volatility Estimation
(2014-07-28)In this PhD thesis, we address the problem of giving simultaneous confidence statements about local features of the diffusion of an Itô process. To this end, we construct a multiscale test based on weighted quadratic ...