2012/11/14 by Olga Klopp, Klopp, Olga, Marianna Pensky +1
Economics, Econometrics and Finance · Mathematics · #Advanced Statistical Methods and Models #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical Methods and Inference #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.1211.3394
openalex publication_date 2012/11/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In the present paper we consider the varying coefficient model which represents a useful tool for exploring dynamic patterns in many applications. Existing methods typically provide asymptotic evaluation of precision of estimation procedures under the assumption that the number of observations tends to infinity. In practical applications, however, only a finite number of measurements are available. In the present paper we focus on a non-asymptotic approach to the problem. We propose a novel estimation procedure which is based on recent developments in matrix estimation. In particular, for our estimator, we obtain upper bounds for the mean squared and the pointwise estimation errors. The obtained oracle inequalities are non-asymptotic and hold for finite sample size.