A maximal inequality for continuous martingales and M-estimation in a Gaussian white noise model
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Publication:1970485
In a Gaussian white noise model the maximizer of a special functional of the unknown regression function is to be estimated. This is achieved by adaptive techniques which are well elaborated, e.g., in empirical process theory. To obtain proper convergence results, the estimator needs to be represented as the argmax of a properly scaled stochastic process which converges in distribution.
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Cited in
(12)- Asymptotic theory of semiparametric \(Z\)-estimators for stochastic processes with applications to ergodic diffusions and time series
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