Non-parametric estimation in a semimartingale regression model. Part 1. Oracle inequalities
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.
| Published in: | Вестник Томского государственного университета. Математика и механика № 3. С. 23-41 |
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| Format: | Article |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:000563218 Перейти в каталог НБ ТГУ |