Non-parametric estimation in a semimartingale regression model. Part 1. Oracle Inequalities

2009/09/17 by Victor Konev, Serguei Pergamenchtchikov, Konev, Victor +1
Economics, Econometrics and Finance · Mathematics · #Advanced Statistical Methods and Models #FOS: Mathematics #Statistical Methods and Inference #Statistics Theory (math.ST) #Stochastic processes and financial applications #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.0909.3151

arxiv created 2009/09/17 · openalex publication_date 2009/09/17 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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 adaptive procedure is proposed. Sharp non-asymptotic oracle inequalities have been derived.

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