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

DOI10.1016/J.SPL.2011.07.019zbMATH Open1225.62057arXiv1107.5859OpenAlexW2030908474MaRDI QIDQ645442FDOQ645442

Authors: Justin Rory Wishart 

Publication date: 15 November 2011

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

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.

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

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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)

Cites Work

• Title not available (Why is that?)
• Fractional Brownian Motions, Fractional Noises and Applications
• Introduction to nonparametric estimation
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• Stochastic Calculus for Fractional Brownian Motion and Applications
• Optimal change-point estimation from indirect observations
• Change-point estimation from indirect observations. 2. Adaptation
• Integration questions related to fractional Brownian motion
• Kink estimation with correlated noise
• Change-point estimation from indirect observations. 1. Minimax complexity

Cited In (2)

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

Uses Software

• longmemo

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