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A Robust, Fully Adaptive M-estimator for Pointwise Estimation in Heteroscedastic Regression
Adaptation Huber contrast Lepski’s method M-estimation minimax estimation nonparamet-ric regression pointwise estimation robust estimation.
2012/9/19
We introduce a robust and fully adaptive method for pointwise estimation in heteroscedastic regression. We allow for noise and design distributions that are unknown and fulfill very weak assumptions o...