Adaptive efficient estimation for generalized semi-Markov big data models
نویسندگان
چکیده
In this paper we study generalized semi-Markov high dimension regression models in continuous time, observed at fixed discrete time moments. The process has dependent jumps and, therefore, it is an extension of the introduced Barbu et al. (Stat Inference Stoch Process 22:187–231, 2019a). For such consider estimation problems nonparametric setting. To end, develop model selection procedures for which sharp non-asymptotic oracle inequalities robust risks are obtained. Moreover, give constructive sufficient conditions provide through obtained adaptive efficiency property minimax sense. It should be noted also that, these results, do not use neither sparse nor parameter model. As examples, constructed spherical symmetric noise impulses and truncated fractional Poisson processes considered. Numerical Monte-Carlo simulations confirming theoretical results given supplementary materials.
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ژورنال
عنوان ژورنال: Annals of the Institute of Statistical Mathematics
سال: 2022
ISSN: ['1572-9052', '0020-3157']
DOI: https://doi.org/10.1007/s10463-022-00820-y