Oracle Inequality for Instrumental Variable Regression

Details Oracle Inequality for Instrumental Variable Regression Oracle Inequality for Instrumental Variable Regression

2009-01-27

arxiv.org/abs/0901.4321v1

Mathematics

Statistics Theory

Scientific paper

We tackle the problem of estimating a regression function observed in an instrumental regression framework. This model is an inverse problem with unknown operator. We provide a spectral cut-off estimation procedure which enables to derive oracle inequalities which warrants that our estimate, built without any prior knowledge, behaves as well as, up to $\log$ term, if the best model were known.

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