Efficient robust nonparametric estimation in a semimartingale regression model
The paper considers the problem of robust estimating a periodic function in a continuous time regression model with the dependent disturbances given by a general square integrable semimartingale with an unknown distribution. An example of such a noise is a non-Gaussian Ornstein–Uhlenbeck process with jumps (see ( (2001) 167–241), ( (2008) 879–908)). An adaptive model selection procedure, based on the weighted least square estimates, is proposed. Under general moment...