Efficient robust nonparametric estimation in a semimartingale regression model

DOI10.1214/12-AIHP488zbMath1282.62102arXiv1010.3366MaRDI QIDQ1930661

Serguei Pergamenchtchikov, Victor Konev

Publication date: 11 January 2013

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.3366

zbMATH Keywords

model selectionasymptotic efficiencysharp oracle inequalitynon-asymptotic estimationrobust risk

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric estimation (62G05)

Related Items (12)

IMPROVED MODEL SELECTION METHOD FOR AN ADAPTIVE ESTIMATION IN SEMIMARTINGALE REGRESSION MODELS ⋮ Oracle inequalities for the stochastic differential equations ⋮ Adaptive efficient estimation for generalized semi-Markov big data models ⋮ Efficient robust nonparametric estimation in a semimartingale regression model ⋮ Improved estimation method for high dimension semimartingale regression models based on discrete data ⋮ Unnamed Item ⋮ Robust model selection for a semimartingale continuous time regression from discrete data ⋮ Model selection for the robust efficient signal processing observed with small Lévy noise ⋮ Sequential model selection method for nonparametric autoregression ⋮ Improved robust model selection methods for a Lévy nonparametric regression in continuous time ⋮ Robust adaptive efficient estimation for semi-Markov nonparametric regression models ⋮ Efficient estimation methods for non-Gaussian regression models in continuous time

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