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2013 Non-asymptotic approach to varying coefficient model
Olga Klopp, Marianna Pensky
Electron. J. Statist. 7: 454-479 (2013). DOI: 10.1214/13-EJS778


In the present paper we consider the varying coefficient model which represents a useful tool for exploring dynamic patterns in many applications. Existing methods typically provide asymptotic evaluation of precision of estimation procedures under the assumption that the number of observations tends to infinity. In practical applications, however, only a finite number of measurements are available. In the present paper we focus on a non-asymptotic approach to the problem. We propose a novel estimation procedure which is based on recent developments in matrix estimation. In particular, for our estimator, we obtain upper bounds for the mean squared and the pointwise estimation errors. The obtained oracle inequalities are non-asymptotic and hold for finite sample size.


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Olga Klopp. Marianna Pensky. "Non-asymptotic approach to varying coefficient model." Electron. J. Statist. 7 454 - 479, 2013.


Published: 2013
First available in Project Euclid: 13 February 2013

zbMATH: 1337.62077
MathSciNet: MR3020429
Digital Object Identifier: 10.1214/13-EJS778

Primary: 62H12, 62J99
Secondary: 60G57

Rights: Copyright © 2013 The Institute of Mathematical Statistics and the Bernoulli Society


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