On-line tracking of a smooth regression function

DOI10.1007/S11203-004-8121-3MaRDI QIDQ995841zbMATHOpenAlexFDO

Authors Lev Goldentayer, R. Liptser

Publication date 10 September 2007

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

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

zbMATH Keywords

equidistant designon-line tracking estimator

Mathematics Subject Classification ID

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

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.

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Cites work

• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• On Estimation of a Probability Density Function and Mode
• On estimation of time dependent spatial signal in Gaussian white noise.
• One method of multiple differentiation applied to a signal in automatic regulation systems
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• Optimal rates of convergence for nonparametric estimators
• Remarks on Some Nonparametric Estimates of a Density Function
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Cited in

(5)

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

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