Improved estimation via model selection method for semimartingale regressions based on discrete data

Improved estimation via model selection method for semimartingale regressions based on discrete data

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.

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Veröffentlicht in:arXiv.org 2020-05
Hauptverfasser: Pchelintsev, Evgeny A, Pergamenshchikov, Serguei M, Povzun, Maria A
Format: Artikel
Sprache:eng
Schlagworte:
Estimating techniques
Periodic functions
Regression analysis
Regression models
Robustness (mathematics)
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Zusammenfassung: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.
ISSN:2331-8422