Oracle inequalities for the stochastic differential equations

DOI10.1007/S11203-018-9180-1zbMath1403.62064arXiv1712.06454OpenAlexW3104399961WikidataQ130188213 ScholiaQ130188213MaRDI QIDQ1656857

Y. Aharonov

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

zbMATH Keywords

model selectionOrnstein-Uhlenbeck processasymptotic efficiencyLévy processadaptive estimationnonparametric regressionsemi-Markov processsharp oracle inequalityimproved non-asymptotic estimationrobust quadratic riskweighted least squares estimates

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (4)

ADAPTIVE ESTIMATION IN A HETEROSCEDASTIC NONPARAMETRIC REGRESSION ⋮ IMPROVED MODEL SELECTION METHOD FOR AN ADAPTIVE ESTIMATION IN SEMIMARTINGALE REGRESSION MODELS ⋮ Improved estimation method for high dimension semimartingale regression models based on discrete data ⋮ Efficient estimation methods for non-Gaussian regression models in continuous time

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