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Estimation for Hidden Processes

10 Oct 2007 (Updated 10 Oct 2007)

No BSD License

Nonparametric estimation of density, regression or variance functions for hidden processes using mod

File Information
Description	This package called EstimHidden is devoted to the non parametric estimation using model selection procedures of 1/ the density of X in a convolution model where Z=X+noise1 is observed 2/ the functions b (drift) and s^2 (volatility) in an "errors in variables" model where Z and Y are observed and assumed to follow: Z=X+noise1 and Y=b(X)+s(X)noise2. 3/ the functions b (drift) and s^2 (volatility) in an stochastic volatility model where Z is observed and follows: Z=X+noise1 and X_{i+1} = b(X_i) + s(X_i)noise2 in any cases the density of noise1 is known. We consider three cases for this density : Gaussian ('normal'), Laplace ('symexp') and log(Chi2) ('logchi2) See function DeconvEstimate.m and examples in files ExampleDensity.m and ExampleRegression.m Authors : F. COMTE and Y. ROZENHOLC For more information, see the following references: DENSITY DECONVOLUTION %%%%%%%%%%%%%%%%%%% 1/ "Penalized contrast estimator for density deconvolution", The Canadian Journal of Statistics, 34, 431-452, (2006) b
MATLAB release	MATLAB 7.4 (R2007a)
Zip File Content
Other Files	EstimHidden/.DS_Store, __MACOSX/EstimHidden/._.DS_Store, EstimHidden/CoefConv.m, __MACOSX/EstimHidden/._CoefConv.m, EstimHidden/DeconvCtr.m, __MACOSX/EstimHidden/._DeconvCtr.m, EstimHidden/DeconvEstimate.m, __MACOSX/EstimHidden/._DeconvEstimate.m, EstimHidden/DeconvOrd.m, __MACOSX/EstimHidden/._DeconvOrd.m, EstimHidden/DeconvPen.m, __MACOSX/EstimHidden/._DeconvPen.m, EstimHidden/DeconvPenCtr.m, __MACOSX/EstimHidden/._DeconvPenCtr.m, EstimHidden/DeconvSimul.m, __MACOSX/EstimHidden/._DeconvSimul.m, EstimHidden/drift.m, __MACOSX/EstimHidden/._drift.m, EstimHidden/ExampleDensity.m, __MACOSX/EstimHidden/._ExampleDensity.m, EstimHidden/ExampleRegression.m, __MACOSX/EstimHidden/._ExampleRegression.m, EstimHidden/FTempiric.c, __MACOSX/EstimHidden/._FTempiric.c, EstimHidden/FTempiric.m, __MACOSX/EstimHidden/._FTempiric.m, EstimHidden/FTempiric.mexglx, EstimHidden/FTempiric.mexmac, EstimHidden/FTlogchi2.m, __MACOSX/EstimHidden/._FTlogchi2.m, EstimHidden/FTnormal.m, __MACOSX/EstimHidden/._FTnormal.m, EstimHidden/FTsymexp.m, EstimHidden/GARCH.m, __MACOSX/EstimHidden/._GARCH.m, EstimHidden/IntByTrapz.m, __MACOSX/EstimHidden/._IntByTrapz.m, EstimHidden/mcgama.m, __MACOSX/EstimHidden/._mcgama.m, EstimHidden/normal.m, EstimHidden/ReadMe.m, __MACOSX/EstimHidden/._ReadMe.m, EstimHidden/sincard.c, __MACOSX/EstimHidden/._sincard.c, EstimHidden/sincard.mexmac, EstimHidden/SinCardBasis.m, __MACOSX/EstimHidden/._SinCardBasis.m, EstimHidden/symexp.m, EstimHidden/volatility.m, __MACOSX/EstimHidden/._volatility.m

Tags for This File
Everyone's Tags	deconvolution(2), hidden processes, model selec, nonparametric estimation, probability, statistics
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Tag Activity for this File
Tag	Applied By	Date/Time
statistics	Yves Rozenholc	22 Oct 2008 09:30:57
probability	Yves Rozenholc	22 Oct 2008 09:30:57
nonparametric estimation	Yves Rozenholc	22 Oct 2008 09:30:57
model selec	Yves Rozenholc	22 Oct 2008 09:30:57
deconvolution	Yves Rozenholc	22 Oct 2008 09:30:57
hidden processes	Yves Rozenholc	22 Oct 2008 09:30:57
deconvolution	Justin Abbott	02 Dec 2008 19:28:14

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