Estimation of the functional dependence of time series for the class of regression functions partially covered by a finite ε-net

  • Authors:
  • N. D. Pankratova;O. G. Zrazhevsky

  • Affiliations:
  • Institute of Applied Systems Analysis, National Technical University "Kyiv Polytechnic Institute," National Academy of Sciences of Ukraine and Ministry of Education and Science of Ukraine, Kyiv, U ...;Institute of Applied Systems Analysis, National Technical University "Kyiv Polytechnic Institute," National Academy of Sciences of Ukraine and Ministry of Education and Science of Ukraine, Kyiv, U ...

  • Venue:
  • Cybernetics and Systems Analysis
  • Year:
  • 2011

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Abstract

The problem of estimating the functional dependence of time series on the time index is considered in the case of short data sample. The uniform convergence of an empirical risk functional to a theoretical one is proved for the case where the parametric class of regression functions can be partially covered by a finite 驴-net for some of its parameters. The functional dependence for the polynomial class of functions is estimated as an example.