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Vestnik Tomskogo Gosudarstvennogo Universiteta. Matematika i Mekhanika, 2009, Number 3(7), Pages 23–41
(Mi vtgu70)
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This article is cited in 7 scientific papers (total in 7 papers)
MATHEMATICS
Non-parametric estimation in a semimartingale regression model. Part 1. Oracle inequalities
V. V. Koneva, S. M. Pergamenshchikovbc a Tomsk State Uneversity, Department of Applied Mathematics
b Tomsk State University, Faculty of Mechanics and Mathematics
c Laboratoire de Mathematiques Raphael Salem
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.
Keywords:
Non-asymptotic estimation; Non-parametric regression; Model selection; Sharp oracle inequality; Semimartingale noise.
Accepted: August 26, 2009
Citation:
V. V. Konev, S. M. Pergamenshchikov, “Non-parametric estimation in a semimartingale regression model. Part 1. Oracle inequalities”, Vestn. Tomsk. Gos. Univ. Mat. Mekh., 2009, no. 3(7), 23–41
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https://www.mathnet.ru/eng/vtgu70 https://www.mathnet.ru/eng/vtgu/y2009/i3/p23
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Abstract page: | 239 | Full-text PDF : | 107 | References: | 29 | First page: | 1 |
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