Convergence rates for kernel regression in infinite-dimensional spaces
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Abstract: We consider a nonparametric regression setup, where the covariate is a random element in a complete separable metric space, and the parameter of interest associated with the conditional distribution of the response lies in a separable Banach space. We derive the optimum convergence rate for the kernel estimate of the parameter in this setup. The small ball probability in the covariate space plays a critical role in determining the asymptotic variance of kernel estimates. Unlike the case of finite dimensional covariates, we show that the asymptotic orders of the bias and the variance of the estimate achieving the optimum convergence rate may be different for infinite dimensional covariates. Also, the bandwidth, which balances the bias and the variance, may lead to an estimate with suboptimal mean square error for infinite dimensional covariates. We describe a data-driven adaptive choice of the bandwidth, and derive the asymptotic behavior of the adaptive estimate.
The authors have discussed a nonparametric regression problem, where the covariate \(X\) is a random element in a complete separable metric space, and the response \(Y\) lies in some arbitrary measure space. In this paper, the optimum convergence rate for a wide class of kernel regression estimates when the covariate as well as the response may be infinitedimensional has been derived, and the problem of optimum convergence rates of nonparametric regression estimates has been investigated by the authors.
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