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MINIMALLY BIASED NONPARAMETRIC REGRESSION AND AUTOREGRESSION
nonparametric regression autoregression Fourier transform
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2009/2/25
A nonparametric regression estimator is introduced which adapts to the smoothness
of the unknown function being estimated. This property allows the new estimator
to automatically achieve minimal bia...
Asymptotically Optimal Estimator of the Parameter of Semi-Linear Autoregression
Martingale estimator optimization convergence
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2010/4/30
The difference equations k = af(k−1) + "k, where ("k) is a square
integrable difference martingale, and the differential equation d =
−af()dt + d, where is a square integrable mar...
Strong confidence intervals for autoregression
Strong confidence intervals autoregression
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2010/4/30
In this short preliminary note I apply the methodology of gametheoretic
probability to calculating non-asymptotic confidence intervals
for the coefficient of a simple first order scalar autoregressi...