On-line tracking of a smooth regression function

DOI10.1007/S11203-004-8121-3zbMATH Open1118.62096arXivmath/0207044OpenAlexW2094751754MaRDI QIDQ995841FDOQ995841

Authors: Lev Goldentayer, R. Liptser 

Publication date: 10 September 2007

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: We construct an on-line estimator with equidistant design for tracking a smooth function from Stone-Ibragimov-Khasminskii class. This estimator has the optimal convergence rate of risk to zero in sample size. The procedure for setting coefficients of the estimator is controlled by a single parameter and has a simple numerical solution. The off-line version of this estimator allows to eliminate a boundary layer. Simulation results are given.

Full work available at URL: https://arxiv.org/abs/math/0207044

Recommendations

• Online Estimation of a Smooth Regression Function
• scientific article; zbMATH DE number 5633833
• scientific article; zbMATH DE number 559170
• NONLINEAR FILTERING OF SMOOTH SIGNALS
• On-line learning of smooth functions of a single variable

zbMATH Keywords

equidistant designon-line tracking estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Optimal rates of convergence for nonparametric estimators
• Remarks on Some Nonparametric Estimates of a Density Function
• On Estimation of a Probability Density Function and Mode
• Optimal global rates of convergence for nonparametric regression
• Title not available (Why is that?)
• Tracking of signals and its derivatives in Gaussian white noise
• On estimation of time dependent spatial signal in Gaussian white noise.
• One method of multiple differentiation applied to a signal in automatic regulation systems

Cited In (4)

• Online Estimation of a Smooth Regression Function
• Online monitoring with local smoothing methods and adaptive ridging
• Tracking volatility
• Online function tracking with generalized penalties

This page was built for publication: On-line tracking of a smooth regression function

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q995841)