64 citations · 113 across the 17 of their papers we have counts for
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math.ST2009★ 5 cited
Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities
Victor Konev, Serguei Pergamenchtchikov
This paper considers the problem of estimating a periodic function in a continuous time regression model with a general square integrable semimartingale noise. A model selection ad…
math.ST2009★ 9 cited
Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency
Victor Konev, Serguei Pergamenchtchikov
In this paper we prove the asymptotic efficiency of the model selection procedure proposed by the authors in the first part. To this end we introduce the robust risk as the least u…