A maximal inequality for continuous martingales and M-estimation in a Gaussian white noise model

研究成果: Article査読

15 被引用数 (Scopus)

抄録

Some sufficient conditions to establish the rate of convergence of certain M-estimators in a Gaussian white noise model are presented. They are applied to some concrete problems, including jump point estimation and nonparametric maximum likelihood estimation, for the regres-sion function. The results are shown by means of a maximal inequality for continuous martingales and some techniques developed recently in the context of empirical processes.

本文言語English
ページ(範囲)675-696
ページ数22
ジャーナルAnnals of Statistics
27
2
DOI
出版ステータスPublished - 1999 4
外部発表はい

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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