Improved model selection method for an adaptive estimation in semimartingale regression models

DOI10.17223/19988621/58/2MaRDI QIDQ5046326zbMATH OpenOpenAlexFDO

Authors Serguei Markovich Pergamenshchikov, Evgeny Pchelintsev

Publication date 28 October 2022

Published in Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mekhanika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1811.05319, http://mathnet.ru/eng/vtgu696

zbMATH Keywords

asymptotic efficiencyimproved non-asymptotic estimationleast squares estimatesmodel selectionnonparametric regressionOrnstein-Uhlenbeck-Lévy processrobust quadratic risksemimartingale noisesharp oracle inequality

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Abstract: This paper considers the problem of robust adaptive efficient estimating of a periodic function in a continuous time regression model with the dependent noises given by a general square integrable semimartingale with a conditionally Gaussian distribution. An example of such noise is the non-Gaussian Ornstein-Uhlenbeck-Levy processes. An adaptive model selection procedure, based on the improved weighted least square estimates, is proposed. Under some conditions on the noise distribution, sharp oracle inequality for the robust risk has been proved and the robust efficiency of the model selection procedure has been established. The numerical analysis results are given.

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Cites work

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Cited in

(8)

• Oracle inequalities for the stochastic differential equations
• Efficient robust nonparametric estimation in a semimartingale regression model
• Efficient estimation methods for non-Gaussian regression models in continuous time
• Robust adaptive efficient estimation for semi-Markov nonparametric regression models
• Improved estimation method for high dimension semimartingale regression models based on discrete data
• Robust model selection for a semimartingale continuous time regression from discrete data
• Non-parametric estimation in a semimartingale regression model. I: Oracle inequalities
• Nonparametric estimation in a semimartingale regression model. II: Robust asymptotic efficiency

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