A robust, adaptive M-estimator for pointwise estimation in heteroscedastic regression
نویسندگان
چکیده
منابع مشابه
Pointwise adaptive estimation for robust and quantile regression∗
A nonparametric procedure for robust regression estimation and for quantile regression is proposed which is completely data-driven and adapts locally to the regularity of the regression function. This is achieved by considering in each point M-estimators over different local neighbourhoods and by a local model selection procedure based on sequential testing. Nonasymptotic risk bounds are obtain...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2014
ISSN: 1350-7265
DOI: 10.3150/13-bej533