On-line tracking of a smooth regression function

Lev Goldentayer, Robert Liptser*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)17-30
Number of pages14
JournalStatistical Inference for Stochastic Processes
Volume9
Issue number1
DOIs
StatePublished - May 2006

Funding

FundersFunder number
Yitzhak and Chaya Weinstein Research Institute for Signal Processing
Tel Aviv University

    Keywords

    • Equidistant design
    • On-line tracking estimator

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