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

robustnessautoregressive processesmethod of regularizationestimation of mean functions of stochastic processessmoothing-spline interpolationsquared loss

Mathematics Subject Classification ID

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

Cited in

(13)

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

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