On-line tracking of a smooth regression function
统计理论
2007-06-13 v1 统计理论
摘要
We construct an on-line estimator with equidistant design for tracking a smooth function from Stone-Ibragimov-Khasminskii class. This estimator has the optimal convergence rate of risk to zero in sample size. The procedure for setting coefficients of the estimator is controlled by a single parameter and has a simple numerical solution. The off-line version of this estimator allows to eliminate a boundary layer. Simulation results are given.
引用
@article{arxiv.math/0207044,
title = {On-line tracking of a smooth regression function},
author = {L. Goldentayer and R. Liptser},
journal= {arXiv preprint arXiv:math/0207044},
year = {2007}
}
备注
13 pages, 2 figures