Exact Asymptotics of Minimax Bahadur Risk in Lipschitz Regression
- Korostelev, Alexander P.
- Spokoiny, Vladimir
2010 Mathematics Subject Classification
- 62G07 62G20
- Nonparametric regression, Bahadur efficiency, Chernoff function
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.
- Statistics, 28 (1996), 13-24.