Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression

Details Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression Adaptive asymptotically efficient estimation in heteroscedastic nonparametric regression

2010-02-08

arxiv.org/abs/1002.1537v1

Journal of the Korean Statistical Society 38, 4 (2008) 305-322

Mathematics

Statistics Theory

Scientific paper

The paper deals with asymptotic properties of the adaptive procedure proposed in the author paper, 2007, for estimating an unknown nonparametric regression. %\cite{GaPe1}. We prove that this procedure is asymptotically efficient for a quadratic risk, i.e. the asymptotic quadratic risk for this procedure coincides with the Pinsker constant which gives a sharp lower bound for the quadratic risk over all possible estimates

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