Model selection and estimation of a component in additive regression
Xavier Gendre (2014)
ESAIM: Probability and Statistics
Similarity:
Let ∈ ℝ be a random vector with mean and covariance matrix where is some known × -matrix. We construct a statistical procedure to estimate as well as under moment condition on or Gaussian hypothesis. Both cases are developed for known or unknown . Our approach is free from any prior assumption on and is based on non-asymptotic model selection methods....