Oracle inequalities for the stochastic differential equations
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Publication:1656857
DOI10.1007/s11203-018-9180-1zbMath1403.62064arXiv1712.06454MaRDI QIDQ1656857
Publication date: 10 August 2018
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.06454
model selection; Ornstein-Uhlenbeck process; asymptotic efficiency; Lévy process; adaptive estimation; nonparametric regression; semi-Markov process; sharp oracle inequality; improved non-asymptotic estimation; robust quadratic risk; weighted least squares estimates
62G08: Nonparametric regression and quantile regression
62G05: Nonparametric estimation
62M05: Markov processes: estimation; hidden Markov models