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Non-parametric estimation in a semimartingale regression model. Part 1. Oracle inequalities V. V. Konev, S. M. Pergamenshchikov

By: Konev, Victor VContributor(s): Pergamenshchikov, Serguei MMaterial type: ArticleArticleContent type: Текст Media type: электронный Subject(s): непараметрическая регрессия | оракульные неравенства | семимартингальный шумGenre/Form: статьи в журналах Online resources: Click here to access online In: Вестник Томского государственного университета. Математика и механика № 3. С. 23-41Abstract: This paper considers the problem of estimating a periodic function in a continuoustime regression model with a general square integrable semimartingale noise. Amodel selection adaptive procedure is proposed. Sharp non-asymptotic oracleinequalities have been derived.
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This paper considers the problem of estimating a periodic function in a continuoustime regression model with a general square integrable semimartingale noise. Amodel selection adaptive procedure is proposed. Sharp non-asymptotic oracleinequalities have been derived.

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