On minimax identification of nonparametric autoregressive models

DOI10.1007/PL00008721zbMath0953.62083MaRDI QIDQ1964758

Bernard Delyon, Anatoli B. Juditsky

Publication date: 29 January 2001

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

autoregressive modelsminimax identification

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

An exponential inequality under weak dependence ⋮ Nonparametric Sequential Minimax Estimation of the Drift Coefficient in Diffusion Processes ⋮ Adaptive drift estimation for nonparametric diffusion model.

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