Improved estimation via model selection method for semimartingale regressions based on discrete data
Statistics Theory
2020-05-26 v2 Probability
Statistics Theory
Abstract
We consider the robust adaptive nonparametric estimation problem for a periodic function observed in the framework of a continuous time regression model with semimartingale noises.
Cite
@article{arxiv.1909.07232,
title = {Improved estimation via model selection method for semimartingale regressions based on discrete data},
author = {Evgeny A. Pchelintsev and Serguei M. Pergamenshchikov and Maria A. Povzun},
journal= {arXiv preprint arXiv:1909.07232},
year = {2020}
}
Comments
38 pages, 6 figure, 2 tables