Juntong Chen

Estimating a regression function in exponential families by model selection

2024 · Bernoulli

Let (W1,Y1),…,(Wn,Yn) be n pairs of independent random variables. We assume that, for each i∈{1,…,n}, the conditional distribution of Yi given Wi belongs to a one-parameter exponential family with parameter γ⋆(Wi)∈R. The statistical goal is …