Oracle Inequality for Instrumental Variable Regression
Statistics Theory
2009-01-28 v1 Statistics Theory
Abstract
We tackle the problem of estimating a regression function observed in an instrumental regression framework. This model is an inverse problem with unknown operator. We provide a spectral cut-off estimation procedure which enables to derive oracle inequalities which warrants that our estimate, built without any prior knowledge, behaves as well as, up to term, if the best model were known.
Cite
@article{arxiv.0901.4321,
title = {Oracle Inequality for Instrumental Variable Regression},
author = {Jean-Michel Loubes and Clément Marteau},
journal= {arXiv preprint arXiv:0901.4321},
year = {2009}
}