Adaptive wavelet multivariate regression with errors in variables

DOI10.1214/17-EJS1238MaRDI QIDQ521322zbMATH OpenFDO

Authors Michaël Chichignoud, van Ha Hoang, Thanh Mai Pham Ngoc, V. Rivoirard

Publication date 7 April 2017

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1601.02762, https://projecteuclid.org/euclid.ejs/1488964114

zbMATH Keywords

deconvolutionmeasurement errorsadaptive wavelet estimatoranisotropic regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Estimation in multivariate analysis (62H12)

Abstract: In the multidimensional setting, we consider the errors-in-variables model. We aim at estimating the unknown nonparametric multivariate regression function with errors in the covariates. We devise an adaptive estimator based on projection kernels on wavelets and a deconvolution operator. We propose an automatic and fully data driven procedure to select the wavelet level resolution. We obtain an oracle inequality and optimal rates of convergence over anisotropic H{"o}lder classes. Our theoretical results are illustrated by some simulations.

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Cited in

(9)

• Convergence rates of multivariate regression estimators with errors-in-variables
• Errors-in-variables and the wavelet multiresolution approximation approach: a Monte Carlo study
• Bandwidth selection for nonparametric regression with errors-in-variables
• Optimal rates of convergence for nonparametric regression estimation under anisotropic Hölder condition
• Adaptive nonparametric estimation of a component density in a two-class mixture model
• Regression estimation under strong mixing data
• Wavelet estimation of semiparametric errors in variables model
• On adaptive wavelet estimation of the regression function and its derivatives in an errors-in-variables model
• Estimation of varying coefficient models with measurement error

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