On-line tracking of a smooth regression function

Lev Goldentayer, Robert Liptser*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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
Issue number1
StatePublished - May 2006


  • Equidistant design
  • On-line tracking estimator


Dive into the research topics of 'On-line tracking of a smooth regression function'. Together they form a unique fingerprint.

Cite this