most citedImproved robust model selection methods for the Levy nonparametric regression in continuous time

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math.ST2017★ 5 cited

Improved robust model selection methods for the Levy nonparametric regression in continuous time

Evgeny Pchelintsev, Valerii Pchelintsev, Serguei Pergamenshchikov

In this paper we develop the James - Stein improved estimation method for a nonparametric periodic function observed with the Levy noises in continuous time. An adaptive model sele…