Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities

Details Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities

2009-09-17

arxiv.org/abs/0909.3151v1

Mathematics

Statistics Theory

Scientific paper

This paper considers the problem of estimating a periodic function in a
continuous time regression model with a general square integrable
semimartingale noise. A model selection adaptive procedure is proposed. Sharp
non-asymptotic oracle inequalities have been derived.

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