K. Azuma, Weighted sums of certain dependent random variables, Tohoku Mathematical Journal, vol.19, issue.3, pp.357-367, 1967.
DOI : 10.2748/tmj/1178243286

Y. Baraud, F. Comte, and G. Viennet, Adaptive estimation in autoregression or ?-mixing regression via model selection, Ann. Statist, vol.29, issue.3, pp.839-875, 2001.

C. P. Henry and . Berbee, Random walks with stationary increments and renewal theory, Mathematical Centre Tracts. Mathematisch Centrum, vol.112, 1979.

B. Bercu and A. Touati, Exponential inequalities for self-normalized martingales with applications, The Annals of Applied Probability, vol.18, issue.5, pp.1848-1869, 2008.
DOI : 10.1214/07-AAP506
URL : https://hal.archives-ouvertes.fr/hal-00165219

N. H. Bingham, C. M. Goldie, and J. L. Teugels, Regular Variation. Encyclopedia of Mathematics and its Applications, 1989.

T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, vol.31, issue.3, pp.31307-327, 1986.
DOI : 10.1016/0304-4076(86)90063-1

H. Victor, . De, and . Peña, A general class of exponential inequalities for martingales and ratios, Ann. Probab, vol.27, issue.1, pp.537-564, 1999.

M. Sylvain-delattre, M. Hoffmann, and . Kessler, Dynamics adaptive estimation of a scalar diffusion, 2002.

J. Fan and I. Gijbels, Local polynomial modelling and its applications. Monographs on Statistics and Applied Probability, 1996.
DOI : 10.1007/978-1-4899-3150-4

A. David and . Freedman, On tail probabilities for martingales, Ann. Probability, vol.3, pp.100-118, 1975.

S. Ga¨?ffasga¨?ffas, On pointwise adaptive curve estimation based on inhomogeneous data, ESAIM: Probability and Statistics, vol.11, pp.344-364, 2007.
DOI : 10.1051/ps:2007023

A. Goldenshluger and O. Lepski, Structural adaptation via L p -norm oracle inequalities. Probab. Theory Related Fields, pp.41-71, 2009.

. Guerre, Design-adaptive pointwise nonparametric regression estimation for recurrent markov time series, Econometrics 0411007, 2004.

E. Guerre, Design Adaptive Nearest Neighbor Regression Estimation, Journal of Multivariate Analysis, vol.75, issue.2, pp.219-244, 2000.
DOI : 10.1006/jmva.2000.1901

W. Hoeffding, Probability Inequalities for Sums of Bounded Random Variables, Journal of the American Statistical Association, vol.1, issue.301, pp.13-30, 1963.
DOI : 10.1214/aoms/1177730491

A. Juditsky, O. Lepski, and A. Tsybakov, Nonparametric estimation of composite functions, The Annals of Statistics, vol.37, issue.3, 2007.
DOI : 10.1214/08-AOS611
URL : https://hal.archives-ouvertes.fr/hal-00401583

G. Kerkyacharian, O. Lepski, and D. Picard, Nonlinear estimation in anisotropic multi-index denoising. Probab. Theory Related Fields, pp.137-170, 2001.

A. N. Kolmogorov and J. A. Rozanov, On Strong Mixing Conditions for Stationary Gaussian Processes, Theory of Probability & Its Applications, vol.5, issue.2, pp.222-227, 1960.
DOI : 10.1137/1105018

M. Ledoux and M. Talagrand, Probability in Banach spaces, Ergebnisse der Mathematik und ihrer Grenzgebiete (3) [Results in Mathematics and Related Areas, 1991.
DOI : 10.1007/978-3-642-20212-4

O. V. Lepski, Asymptotically minimax adaptive estimation i: Upper bounds, optimally adaptive estimates. Theory of Probability and its Applications, pp.682-697, 1988.

O. V. Lepski, On a problem of adaptive estimation in Gaussian white noise. Theory of Probability and its Applications, pp.454-466, 1990.

O. V. Lepski, On a Problem of Adaptive Estimation in Gaussian White Noise, Theory of Probability & Its Applications, vol.35, issue.3, pp.87-106, 1992.
DOI : 10.1137/1135065

O. V. Lepski, E. Mammen, and V. Spokoiny, Optimal spatial adaptation to inhomogeneous smoothness: an approach based on kernel estimates with variable bandwidth selectors. The Annals of Statistics, pp.929-947, 1997.

O. V. Lepski and V. G. Spokoiny, Optimal pointwise adaptive methods in nonparametric estimation. The Annals of Statistics, pp.2512-2546, 1997.

P. Massart, Concentration inequalities and model selection Lectures from the 33rd Summer School on Probability Theory held in Saint-Flour, Lecture Notes in Mathematics, vol.1896, 2003.

I. Pinelis, Optimum Bounds for the Distributions of Martingales in Banach Spaces, The Annals of Probability, vol.22, issue.4, pp.1679-1706, 1994.
DOI : 10.1214/aop/1176988477

M. Talagrand, New concentration inequalities in product spaces, Inventiones Mathematicae, vol.126, issue.3, pp.505-563, 1996.
DOI : 10.1007/s002220050108

K. Tribouley and G. Viennet, Lp adaptive density estimation in a ?? mixing framework, Annales de l'Institut Henri Poincare (B) Probability and Statistics, vol.34, issue.2, pp.179-208, 1998.
DOI : 10.1016/S0246-0203(98)80029-0

A. Sara and . Van-de-geer, Applications of empirical process theory, volume 6 of Cambridge Series in Statistical and Probabilistic Mathematics, 2000.

W. Aad, . Van, J. A. Vaart, and . Wellner, Weak convergence and empirical processes. Springer Series in Statistics, 1996.

G. Viennet, Inequalities for absolutely regular sequences: application to density estimation. Probab. Theory Related Fields, pp.467-492, 1997.