A robust, adaptive M-estimator for pointwise estimation in heteroscedastic regression

DOI10.3150/13-BEJ533zbMath1303.62035arXiv1207.4447OpenAlexW3105661294MaRDI QIDQ396020

Michaël Chichignoud, Johannes Lederer

Publication date: 8 August 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.4447

zbMATH Keywords

nonparametric regressionadaptationrobust estimationminimax estimationM-estimationLepski's methodHuber contrastpointwise estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Minimax procedures in statistical decision theory (62C20)

Related Items (6)

Learning from MOM's principles: Le Cam's approach ⋮ Estimation of high-dimensional graphical models using regularized score matching ⋮ Adaptation to lowest density regions with application to support recovery ⋮ Bandwidth selection in kernel empirical risk minimization via the gradient ⋮ Mean estimation and regression under heavy-tailed distributions: A survey ⋮ Adaptive estimation over anisotropic functional classes via oracle approach

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