Minimax lower bound for kink location estimators in a nonparametric regression model with long-range dependence

DOI10.1016/J.SPL.2011.07.019MaRDI QIDQ645442zbMATH OpenOpenAlexFDO

Authors Justin Rory Wishart

Publication date 15 November 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.5859

zbMATH Keywords

minimax

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Fractional processes, including fractional Brownian motion (60G22)

Abstract: In this paper, a lower bound is determined in the minimax sense for change point estimators of the first derivative of a regression function in the fractional white noise model. Similar minimax results presented previously in the area focus on change points in the derivatives of a regression function in the white noise model or consider estimation of the regression function in the presence of correlated errors.

Recommendations

• scientific article; zbMATH DE number 2169682
• A minimaxity criterion in nonparametric regression based on large-deviations probabilities
• LocalL-estimators for nonparametric regression under dependence
• Asymptotics of the “minimumL 1-norm” estimates in nonparametric regression models
• Asymptotic Properties of Koenker–Bassett Estimator in Regression Model with Long-Range Dependence
• scientific article; zbMATH DE number 1738344
• Nonparametric regression under long-range dependent normal errors

Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1085990 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Change-point estimation from indirect observations. 1. Minimax complexity
• Change-point estimation from indirect observations. 2. Adaptation
• Fractional Brownian Motions, Fractional Noises and Applications
• Integration questions related to fractional Brownian motion
• Introduction to nonparametric estimation
• Kink estimation with correlated noise
• Optimal change-point estimation from indirect observations
• Stochastic Calculus for Fractional Brownian Motion and Applications

Cited in

(2)

• Kink estimation in stochastic regression with dependent errors and predictors
• Kink estimation with correlated noise

Describes a project that uses

Uses Software

• longmemo

This page was built for publication: Minimax lower bound for kink location estimators in a nonparametric regression model with long-range dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q645442)