Improved estimation via model selection method for semimartingale regressions based on discrete data
Evgeny A. Pchelintsev, Serguei M. Pergamenshchikov, Maria A. Pov·2019-09-16·via math.ST updates on arXiv.org
We consider the robust adaptive nonparametric estimation problem for a periodic function observed in the framework of a continuous time regression model with semimartingale noises.