Improved estimation method for high dimension semimartingale regression models based on discrete data
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DOI: 10.1007/s11203-021-09258-0
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Keywords
Non-parametric regression; Semimartingale noise; Big data; Incomplete observations; Improved non-asymptotic estimation; Least squares estimates; Robust quadratic risk; Ornstein–Uhlenbeck–Lévy process; Model selection; Sharp oracle inequality; Asymptotic efficiency;All these keywords.
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