On-line tracking of a smooth regression function

Details On-line tracking of a smooth regression function On-line tracking of a smooth regression function

2002-07-04

arxiv.org/abs/math/0207044v1

Mathematics

Statistics Theory

13 pages, 2 figures

Scientific paper

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.

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