BIP! Finder - Non-parametric estimation in a semimartingale regression model. Part 1. Oracle inequalities

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2009 • Non-parametric estimation in a semimartingale regression model. Part 1. Oracle inequalities

Authors: Konev, Victor, Pergamenchtchikov, Serguei

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.

External links: OpenAIRE

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10.48550/arxiv.0909.3151