In the present paper we consider the varying coefficient model
which represents a useful tool for exploring dynamic patterns in many applications.
Existing methods typically provide asymptotic evaluation of precision
of estimation procedures under the assumption that the number of
observations tends to infinity. In practical applications, however, only a fi-
nite number of measurements are available. In the present paper we focus on
a non-asymptotic approach to the problem. We propose a novel estimation
procedure which is based on recent developments in matrix estimation. In
particular, for our estimator, we obtain upper bounds for the mean squared
and the pointwise estimation errors. The obtained oracle inequalities are
non-asymptotic and hold for finite sample size
KLOPP, O. et PENSKY, M. (2013). Non-asymptotic approach to varying coefficient model. The Electronic Journal of Statistics, 7, pp. 454-479.