Robust adaptive efficient estimation for semi-Markov nonparametric   regression models
  We consider the nonparametric robust estimation problem for regression models in continuous time with semi-Markov noises. An adaptive model selection procedure is proposed. Under general moment conditions on the noise distribution a sharp non-asymptotic oracle inequality for the robust risks is obtained and the robust efficiency is shown. It turns out that for semi-Markov models the robust minimax convergence rate may be faster or slower than the classical one. 
Vlad Barbu, Slim Beltaif and Serguei Pergamenchtchikov
math.ST stat.TH