Minimaxity of the method of regularization on stochastic processes

DOI10.1214/AOS/1176345883MaRDI QIDQ1170856zbMATH OpenOpenAlexFDO

Authors Ker-Chau Li

Publication date 1982

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176345883

zbMATH Keywords

autoregressive processesestimation of mean functions of stochastic processesmethod of regularizationrobustnesssmoothing-spline interpolationsquared loss

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Minimax procedures in statistical decision theory (62C20) Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical smoothing, curve fitting (65D10)

Cited in

(14)

• Wavelet regression estimation in nonparametric mixed effect models
• Minimax estimation in linear regression under restrictions
• Minimax linear estimation at a boundary point
• Splines from a Bayesian point of view
• Adaptive estimation of linear functionals in functional linear models
• On rate optimal local estimation in functional linear regression
• Robust pricing under strategic trading
• Smoothing Errors
• Adaptive estimation of functionals in nonparametric instrumental regression
• Consistent least squares nonparametric regression
• Extended Gauss-Markov theorem for nonparametric mixed-effects models
• Linear functional estimation under multiplicative measurement error
• Pseudo-labeling for kernel ridge regression under covariate shift
• Direct estimation of linear functionals from indirect noisy observations

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