Nonparametric estimation in a semimartingale regression model. Part 2. Robust asymptotic efficiency
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 robus...
| Published in: | Вестник Томского государственного университета. Математика и механика № 4. С. 31-45 |
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| Main Author: | |
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| Format: | Article |
| Language: | English |
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| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/koha:000563221 Перейти в каталог НБ ТГУ |
| Summary: | 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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| Bibliography: | Библиогр.: 13 назв. |
| ISSN: | 1998-8621 |