Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities
Statistics Theory
2009-09-18 v1 Statistics Theory
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.
Cite
@article{arxiv.0909.3151,
title = {Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities},
author = {Victor Konev and Serguei Pergamenchtchikov},
journal= {arXiv preprint arXiv:0909.3151},
year = {2009}
}