Minimaxity of the method of regularization on stochastic processes

DOI10.1214/aos/1176345883zbMath0497.62078OpenAlexW2091108137MaRDI QIDQ1170856

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

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

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