Sharp non-asymptotic oracle inequalities for non-parametric heteroscedastic regression models

L. Galtchouk and S. Pergamenshchikov

Journal of Nonparametric Statistics, 2009, vol. 21, issue 1, 1-18

Abstract: An adaptive non-parametric estimation procedure is constructed for heteroscedastic regression when the noise variance depends on the unknown regression. A non-asymptotic upper bound for a quadratic risk (oracle inequality) is obtained.

Date: 2009
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DOI: 10.1080/10485250802504096

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