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MINIMALLY BIASED NONPARAMETRIC REGRESSION AND AUTOREGRESSION
nonparametric regression autoregression Fourier transform
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
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...
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...