292 citations · 770 across the 46 of their papers we have counts for
4 papers · 1 filter
Asymptotic equivalence for regression under fractional noise
Johannes Schmidt-Hieber
Consider estimation of the regression function based on a model with equidistant design and measurement errors generated from a fractional Gaussian noise process. In previous liter…
Spot volatility estimation for high-frequency data: adaptive estimation in practice
Till Sabel, Johannes Schmidt-Hieber, Axel Munk
We develop further the spot volatility estimator introduced in Hoffmann, Munk and Schmidt-Hieber (2012) from a practical point of view and make it useful for the analysis of high-f…
On adaptive posterior concentration rates
Marc Hoffmann, Judith Rousseau, Johannes Schmidt-Hieber
We investigate the problem of deriving posterior concentration rates under different loss functions in nonparametric Bayes. We first provide a lower bound on posterior coverages of…
On an estimator achieving the adaptive rate in nonparametric regression under -loss for all
Johannes Schmidt-Hieber
Consider nonparametric function estimation under -loss. The minimax rate for estimation of the regression function over a Hölder ball with smoothness index is $n^{-β/(2β+1…