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Publication . Article . Preprint . 2009

Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities.

Konev, Victor; Pergamenchtchikov, Serguei;
Open Access
English

doi: 10.48550/arxiv.0909.3151

Published: 16 Sep 2009
Publisher: HAL CCSD
Country: France
Abstract

This paper considers the problem of estimating a periodic function in a continuous time regression model with a general square integrable semimartingale noise. A model selection adaptive procedure is proposed. Sharp non-asymptotic oracle inequalities have been derived.

Subjects by Vocabulary

arXiv: Statistics::Theory

Subjects

[MATH.MATH-ST]Mathematics [math]/Statistics [math.ST], [STAT.TH]Statistics [stat]/Statistics Theory [stat.TH], Statistics Theory (math.ST), FOS: Mathematics, [MATH.MATH-ST] Mathematics [math]/Statistics [math.ST], [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], Mathematics - Statistics Theory

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