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Vestnik Tomskogo Gosudarstvennogo Universiteta. Matematika i Mekhanika, 2009, Number 4(8), Pages 31–45 (Mi vtgu16)  
This article is cited in 6 scientific papers (total in 6 papers)

MATHEMATICS

Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency

V. V. Koneva, S. M. Pergamenshchikovbc

a Tomsk State University
b Université de Rouen
c Tomsk State University, Faculty of Mechanics and Mathematics
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Abstract: In this paper we prove the asymptotic efficiency of the model selection procedure proposed by the authors in [1]. To this end we introduce the robust risk as the least upper bound of the quadratical risk over a broad class of observation distributions. Asymptotic upper and lower bounds for the robust risk have been derived. The asymptotic efficiency of the procedure is proved. The Pinsker constant is found.
Keywords: Non-parametric regression; Model selection; Sharp oracle inequality; Robust risk; Asymptotic efficiency; Pinsker constant; Semimartingale noise.

Accepted: November 16, 2009
Document Type: Article
UDC: 519.2
MSC: Primary 62G08; Secondary 62G05
Language: English
Citation: V. V. Konev, S. M. Pergamenshchikov, “Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2009, no. 4(8), 31–45
Citation in format AMSBIB
\Bibitem{KonPer09}
\by V.~V.~Konev, S.~M.~Pergamenshchikov
\paper Nonparametric estimation in a semimartingale regression model. Part~2. Robust asymptotic efficiency
\jour Vestn. Tomsk. Gos. Univ. Mat. Mekh.
\yr 2009
\issue 4(8)
\pages 31--45
\mathnet{http://mi.mathnet.ru/vtgu16}
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    • This publication is cited in the following 6 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Вестник Томского государственного университета. Математика и механика
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