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

Abstract

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.

arXiv comment38 pages, 6 figure, 2 tables

References in corpus (3)

• General model selection estimation of a periodic regression with a Gaussian noise
• Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency
• Sharp non-asymptotic oracle inequalities for nonparametric heteroscedastic regression models