Geodesic
Non-parametric estimation in a~semimartingale regression model. Part~1. Oracle inequalities
Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 3 (2009), pp. 23-41

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This paper considers the problem of estimating a periodic function in a continuous time regression model with a general square integrable semimartingale noise. A model selection adaptive procedure is proposed. Sharp non-asymptotic oracle inequalities have been derived.
Keywords: Non-asymptotic estimation; Non-parametric regression; Model selection; Sharp oracle inequality; Semimartingale noise. 
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     author = {V. V. Konev and S. M. Pergamenshchikov},
     title = {Non-parametric estimation in a~semimartingale regression model. {Part~1.} {Oracle} inequalities},
     journal = {Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika},
     pages = {23--41},
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     number = {3},
     year = {2009},
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V. V. Konev; S. M. Pergamenshchikov. Non-parametric estimation in a~semimartingale regression model. Part~1. Oracle inequalities. Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 3 (2009), pp. 23-41. http://geodesic.mathdoc.fr/item/VTGU_2009_3_a2/