Displaying similar documents to “On estimating the diffusion coefficient : parametric versus nonparametric”

Adaptive estimation of the conditional intensity of marker-dependent counting processes

F. Comte, S. Gaïffas, A. Guilloux (2011)

Annales de l'I.H.P. Probabilités et statistiques

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We propose in this work an original estimator of the conditional intensity of a marker-dependent counting process, that is, a counting process with covariates. We use model selection methods and provide a nonasymptotic bound for the risk of our estimator on a compact set. We show that our estimator reaches automatically a convergence rate over a functional class with a given (unknown) anisotropic regularity. Then, we prove a lower bound which establishes that this rate is optimal. Lastly,...

Iterative feature selection in least square regression estimation

Pierre Alquier (2008)

Annales de l'I.H.P. Probabilités et statistiques

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This paper presents a new algorithm to perform regression estimation, in both the inductive and transductive setting. The estimator is defined as a linear combination of functions in a given dictionary. Coefficients of the combinations are computed sequentially using projection on some simple sets. These sets are defined as confidence regions provided by a deviation (PAC) inequality on an estimator in one-dimensional models. We prove that every projection the algorithm actually improves...