A maximal inequality for continuous martingales andM - estimation in a Gaussian white noise model
نویسنده
چکیده
Some suucient 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 non-parametric maximum likelihood estimation, for the regression 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.
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