Kernel partial least squares for stationary data

MaRDI QIDQ4637047zbMATH OpenFDO

Authors Marco Singer, Tatyana Krivobokova, Axel Munk

Publication date 17 April 2018

Full work available at URL https://arxiv.org/abs/1706.03559, http://jmlr.csail.mit.edu/papers/v18/17-306.html

zbMATH Keywords

effective dimensionalitylong range dependencenonparametric regressionprotein dynamicssource condition

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Nonparametric regression and quantile regression (62G08) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: We consider the kernel partial least squares algorithm for non-parametric regression with stationary dependent data. Probabilistic convergence rates of the kernel partial least squares estimator to the true regression function are established under a source and an effective dimensionality condition. It is shown both theoretically and in simulations that long range dependence results in slower convergence rates. A protein dynamics example shows high predictive power of kernel partial least squares.

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Cited in

(10)

• Kernel conjugate gradient methods with random projections
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• Partial least squares for serially dependent data
• Sparse kernel partial least squares regression.
• Partial least squares for dependent data
• The inner partial least square: an exploration of the ``necessary dimension reduction
• Early stopping for conjugate gradients in statistical inverse problems
• Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach

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