Improved robust model selection methods for a Lévy nonparametric regression in continuous time

DOI10.1080/10485252.2019.1609672zbMath1423.62029arXiv1710.03111OpenAlexW3101211824MaRDI QIDQ5228594

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Publication date: 12 August 2019

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.03111

zbMATH Keywords

model selectionasymptotic efficiencyLévy processadaptive estimationnonparametric regressionsharp oracle inequalityimproved non-asymptotic estimationrobust quadratic riskJames-Stein procedures

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Nonparametric regression and quantile regression (62G08) Nonparametric robustness (62G35) Nonparametric estimation (62G05)

Related Items (2)

Improved estimation method for high dimension semimartingale regression models based on discrete data ⋮ Efficient estimation methods for non-Gaussian regression models in continuous time

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