Geodesic
Online estimation of a smooth regression function
Teoriâ veroâtnostej i ee primeneniâ, Tome 47 (2002) no. 3, pp. 567-575

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The tracking (recursive) type estimator for a one-dimensional regression estimation problem with equidistant design is proposed. It is proven that, out of the inevitable initial layer, this estimator has the optimal rate of convergence of quadratic risk to zero if the sample size goes to infinity.
Keywords: online tracking estimator, equidistant design, nonparametric estimation
Mots-clés : regression. 
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     author = {R. Sh. Liptser and R. Z. Khas'minskii},
     title = {Online estimation of a smooth regression function},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {567--575},
     publisher = {mathdoc},
     volume = {47},
     number = {3},
     year = {2002},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2002_47_3_a10/}
}
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R. Sh. Liptser; R. Z. Khas'minskii. Online estimation of a smooth regression function. Teoriâ veroâtnostej i ee primeneniâ, Tome 47 (2002) no. 3, pp. 567-575. http://geodesic.mathdoc.fr/item/TVP_2002_47_3_a10/