On adaptive estimation of linear functionals from observations against white noise

DOI10.1134/S0032946020020040zbMath1460.62210OpenAlexW3043512450MaRDI QIDQ784386

D. Kharzeev

Publication date: 3 August 2020

Published in: Problems of Information Transmission (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0032946020020040

zbMATH Keywords

Wiener processsingular value decompositionlinear functionaladaptive estimationsoft thresholdingwhite Gaussian noisespectral regularizationrisk envelopeAkaike methodprojection estimate

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Functional data analysis (62R10) Linear regression; mixed models (62J05) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) White noise theory (60H40) Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

Optimal recovery of a square integrable function from its observations with Gaussian errors

Cites Work

• Minimal penalty for Goldenshluger-Lepski method
• An oracle approach to adaptive estimation of linear functionals in a Gaussian model
• Universal pointwise selection rule in multivariate function estimation
• Ordered linear smoothers
• Adaptive estimation of linear functionals by model selection
• On risk concentration for convex combinations of linear estimators
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