Exact Asymptotics of Minimax Bahadur Risk in Lipschitz Regression

A. P. Korostelev Institute for System Analysis, Wayne State University, Moscow, Detroit and Weierstrass Institute for Applied Analysis and Stochastics, Berlin

V. G. Spokoiny Institute for System Analysis, Wayne State University, Moscow, Detroit and Weierstrass Institute for Applied Analysis and Stochastics, Berlin

Abstract

The estimation problem for a Lipschitz regression at a point is studied. The exact limiting performance of the Bahadur risk is found in the minimax sense, the asymptotics being presented in the explicit form in terms of the Chernoff function.

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Exact Asymptotics of Minimax Bahadur Risk in Lipschitz Regression

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Exact Asymptotics of Minimax Bahadur Risk in Lipschitz Regression

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