Improved estimation method for high dimension semimartingale regression models based on discrete data

DOI10.1007/s11203-021-09258-0OpenAlexW3205003381MaRDI QIDQ2676878

Yanyan Li

Publication date: 28 September 2022

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-021-09258-0

zbMATH Keywords

model selectionasymptotic efficiencybig datanon-parametric regressionincomplete observationssharp oracle inequalityleast squares estimatesimproved non-asymptotic estimationrobust quadratic risksemimartingale noiseOrnstein-Uhlenbeck-Lévy process

Mathematics Subject Classification ID

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

Related Items (1)

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Cites Work

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