Oracle Inequality for Instrumental Variable Regression

MaRDI QIDQ6212525zbMATH OpenFDO

Authors Jean-Michel Loubes, Clément Marteau

Publication date 27 January 2009

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Abstract: We tackle the problem of estimating a regression function observed in an instrumental regression framework. This model is an inverse problem with unknown operator. We provide a spectral cut-off estimation procedure which enables to derive oracle inequalities which warrants that our estimate, built without any prior knowledge, behaves as well as, up to $log$ term, if the best model were known.

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