Change-point estimation from indirect observations. 2. Adaptation

Abstract : We focus on the problem of adaptive estimation of signal singularities from indirect and noisy observations. A typical example of such a singularity is a discontinuity (change-point) of the signal or of its derivative. We develop a change-point estimator which adapts to the unknown smoothness of a nuisance deterministic component and to an unknown jump amplitude. We show that the proposed estimator attains optimal adaptive rates of convergence. A simulation study demonstrates reasonable practical behavior of the proposed adaptive estimates.
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Article dans une revue
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institute Henri Poincaré, 2008, 44 (5), pp.819-836. <10.1214/07-AIHP144>
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https://hal.archives-ouvertes.fr/hal-00340270
Contributeur : Philippe Macé <>
Soumis le : jeudi 20 novembre 2008 - 12:17:22
Dernière modification le : mardi 11 octobre 2016 - 14:04:50

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Alexander Goldenshluger, Anatoli Juditsky, Alexandre Tsybakov, Assaf Zeevi. Change-point estimation from indirect observations. 2. Adaptation. Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, Institute Henri Poincaré, 2008, 44 (5), pp.819-836. <10.1214/07-AIHP144>. <hal-00340270>

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