Robust adaptive efficient estimation for a semi-Markov continuous time regression from discrete data
Statistics Theory
2020-05-15 v2 Statistics Theory
Abstract
In this article we consider the nonparametric robust estimation problem for regression models in continuous time with semi-Markov noises observed in discrete time moments. An adaptive model selection procedure is proposed. A sharp non-asymptotic oracle inequality for the robust risks is obtained. We obtain sufficient conditions on the frequency observations under which the robust efficiency is shown. It turns out that for the semi-Markov models the robust minimax convergence rate may be faster or slower than the classical one.
Cite
@article{arxiv.1710.10653,
title = {Robust adaptive efficient estimation for a semi-Markov continuous time regression from discrete data},
author = {Vlad Stefan Barbu and Slim Beltaief and Serguei Pergamenshchikov},
journal= {arXiv preprint arXiv:1710.10653},
year = {2020}
}
Comments
arXiv admin note: text overlap with arXiv:1604.04516