We construct an on-line estimator with equidistant design for tracking a smooth function from Stone-Ibragimov-Khasminskii's class. This estimator has the optimal convergence rate of risk to zero in sample size. The procedure for setting coefficients of the estimator is controlled by a single parameter and has a simple numerical solution. The off-line version of this estimator allows to eliminate a boundary layer. Simulation results are given.
- Equidistant design
- On-line tracking estimator