Minimax and minimax adaptive estimation in multiplicative regression : locally bayesian approach

Abstract

The paper deals with the non-parametric estimation in the regression with the multiplicative noise. Using the local polynomial fitting and the bayesian approach, we construct the minimax on isotropic H\"older class estimator. Next applying Lepski's method, we propose the estimator which is optimally adaptive over the collection of isotropic H\"older classes. To prove the optimality of the proposed procedure we establish, in particular, the exponential inequality for the deviation of locally bayesian estimator from the parameter to be estimated. These theoretical results are illustrated by simulation study.