Additive Regression Model for Continuous Time Processes

Abstract

In the setting of additive regression model for continuous time process, we establish the optimal uniform convergence rates and optimal asymptotic quadratic error of additive regression. To build our estimate, we use the marginal integration method.

Keywords:

• Additive regression
• Continuous time processes
• Curse of dimensionality
• Marginal integration

Mathematics Subject Classification:

• Primary 62M10
• Secondary 65D99