Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency V. V. Konev, S. M. Pergamenshchikov
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ArticleContent type: Текст Media type: электронный Subject(s): непараметрическая регрессия | выбор модели | оракульное неравенство | асимптотическая эффективность | Пинскера константа | семимартингальный шумGenre/Form: статьи в журналах Online resources: Click here to access online
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Вестник Томского государственного университета. Математика и механика № 4. С. 31-45Abstract: In this paper we prove the asymptotic efficiency of the model selection procedure proposed by the authors in [1]. To this end we introduce the robust risk as the least upper bound of the quadratical risk over a broad class of observation distributions. Asymptotic upper and lower bounds for the robust risk have been derived. The asymptotic efficiency of the procedure is proved. The Pinsker constant is found
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In this paper we prove the asymptotic efficiency of the model selection procedure proposed by the authors in [1]. To this end we introduce the robust risk as the least upper bound of the quadratical risk over a broad class of observation distributions. Asymptotic upper and lower bounds for the robust risk have been derived. The asymptotic efficiency of the procedure is proved. The Pinsker constant is found
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