S. Pergamenchtchikov

发表

Geometric ergodicity for families of homogeneous Markov chains

Serguei Pergamenchtchikov, Leonid Galtchouk, L. Galtchouk, 2010, 1002.2341.

Kullback-Leibler Approach to CUSUM Quickest Detection Rule for Markovian Time Series

V. Girardin, S. Pergamenchtchikov, V. Konev, 2018, Sequential Analysis.

Efficient robust nonparametric estimation in a semimartingale regression model

S. Pergamenchtchikov, V. Konev, 2010, 1010.3366.

Asymptotically optimal robust information-based quick detection for general stochastic models with nonparametric postchange uncertainty

V. Girardin, S. Pergamenchtchikov, V. Konev, 2022, Sequential Analysis.

Optimal investment with bounded VaR for power utility functions

S. Pergamenchtchikov, Bénamar Chouaf, 2010, 1002.3681.

Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions

C. Kluppelberg, S. Pergamenchtchikov, 2010, 1002.2486.

General model selection estimation of a periodic regression with a Gaussian noise

S. Pergamenchtchikov, V. Konev, 2010, 1011.1328.

Hedging problems for Asian options with transactions costs

S. Pergamenchtchikov, Alena Shishkova, 2020, 2001.01443.

Sequential model selection method for nonparametric autoregression

S. Pergamenchtchikov, Ouerdia Arkoun, Jean-Yves Brua, 2018, Sequential Analysis.

Sequential robust estimation for nonparametric autoregressive models

S. Pergamenchtchikov, Ouerdia Arkoun, 2016 .

Sequential Estimation for Non‐parametric Autoregressive Models

S. Pergamenchtchikov, Ouerdia Arkoun, Jean-Yves Brua, 2020 .

Estimating the number of signals with unknown parameters under Gaussian noises

S. Pergamenchtchikov, A. Kharin, 2022, 2022 International Telecommunications Conference (ITC-Egypt).

Adaptive Algorithms for Model Order Selection problems

S. Pergamenchtchikov, A. Kharin, 2022, 2022 International Conference on Electrical, Computer and Energy Technologies (ICECET).

Model selection for the robust efficient estimation in the nonparametric regression model with jumps

O. Chernoyarov, S. Pergamenchtchikov, Slim Beltaief, 2016 .

The tail of the stationary distribution of a random coefficient AR(q) model

C. Kluppelberg, S. Pergamenchtchikov, 2004, math/0405297.

Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data

A. Tartakovsky, S. Pergamenchtchikov, 2016, Statistical Inference for Stochastic Processes.

Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data

Alexander G. Tartakovsky, A. Tartakovsky, S. Pergamenchtchikov, 2015, 1510.02903.

Model selection for the robust efficient signal processing observed with small Lévy noise

O. Chernoyarov, S. Pergamenchtchikov, Slim Beltaief, 2016, Annals of the Institute of Statistical Mathematics.

Model selection for the robust efficient estimation in the nonparametric regression model with jumps

O. Chernoyarov, S. Pergamenchtchikov, Slim Beltaief, 2016 .

Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities

S. Pergamenchtchikov, V. Konev, 2009, 0909.3151.

Asymptotically optimal pointwise and minimax change-point detection for general stochastic models with a composite post-change hypothesis

Serguei Pergamenchtchikov, Alexander G. Tartakovsky, A. Tartakovsky, 2018, J. Multivar. Anal..

Sequential robust efficient estimation for nonparametric autoregressive models

S. Pergamenchtchikov, Ouerdia Arkoun, 2013, 1304.4848.

Nonparametric estimation for an autoregressive model

S. Pergamenchtchikov, Ouerdia Arkoun, 2008, 0806.3012.

Stochastic control methods for optimization problems in Ornstein-Uhlenbeck spread models

S. Albosaily, S. Pergamenchtchikov, 2023, Journal of Mathematical Analysis and Applications.

Renewal Theory for Functionals of a Markov Chain with Compact State Space

C. Klüppelberg, S. Pergamenchtchikov, 2003 .

Minimax and pointwise sequential changepoint detection and identification for general stochastic models

Serguei Pergamenchtchikov, Alexander Tartakovsky, Valentin Spivak, 2021, J. Multivar. Anal..

Approximate hedging with proportional transaction costs in stochastic volatility models with jumps

S. Pergamenchtchikov, H. Nguyen, 2014 .