Non-parametric estimation in a semimartingale regression model. I: Oracle inequalities

MaRDI QIDQ5869062FDOQ5869062

Author name not available (Why is that?)

Publication date: 27 September 2022

Full work available at URL: https://arxiv.org/abs/0909.3151

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zbMATH Keywords

model selectionnonparametric regressionsharp oracle inequalitynon-asymptotic estimationsemimartingale noise

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08)

Cites Work

• Some Comments on C P
• A new look at the statistical model identification
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• Risk bounds for model selection via penalization
• Optimal filtering of square-integrable signals in Gaussian noise
• Oracle inequalities for inverse problems
• Spline smoothing in regression models and asymptotic efficiency in \(L_ 2\)
• Ordered linear smoothers
• Sharp non-asymptotic oracle inequalities for non-parametric heteroscedastic regression models
• Improved model selection method for a regression function with dependent noise
• Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression
• Title not available (Why is that?)
• Nonparametric sequential estimation of the drift in diffusion processes via model selection
• General model selection estimation of a periodic regression with a Gaussian noise
• Uniform concentration inequality for ergodic diffusion processes

Cited In (11)

• IMPROVED MODEL SELECTION METHOD FOR AN ADAPTIVE ESTIMATION IN SEMIMARTINGALE REGRESSION MODELS
• Improved robust model selection methods for a Lévy nonparametric regression in continuous time
• Title not available (Why is that?)
• Oracle inequalities for the stochastic differential equations
• Robust model selection for a semimartingale continuous time regression from discrete data
• Adaptive efficient estimation for generalized semi-Markov big data models
• Robust adaptive efficient estimation for semi-Markov nonparametric regression models
• Improved estimation method for high dimension semimartingale regression models based on discrete data
• Model selection for the robust efficient signal processing observed with small Lévy noise
• Adaptive efficient robust sequential analysis for autoregressive big data models
• Efficient estimation methods for non-Gaussian regression models in continuous time

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