Maximum penalized likelihood estimation. Volume II: Regression

DOI10.1007/B12285MaRDI QIDQ1012708zbMATH OpenOpenAlexFDO

Authors Paul P. B. Eggermont, Vincent N. La Riccia

Publication date 22 April 2009

Published in Springer Series in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/b12285

zbMATH Keywords

confidence bandsequivalent kernelKalman filterkernel estimatorslocal polynomial estimatorssievessmoothing parameter selectionsmoothing splines

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and prediction (62M20) Numerical computation using splines (65D07)

Review text

This is the second volume of a text on the theory and practice of maximum penalized likelihood estimation, for Vol. I from 2001 see the review Zbl 0984.62026. The emphasis in this volume is on smoothing splines of arbitrary order, but other estimation methods (kernel, local and global polynomials) pass reviews as well. Smoothing splines and local polynomials are studied in the context of reproducing kernel Hilbert spaces. This approach leads to equivalent reproducing kernel estimators for spline estimators. Then, via uniform error bounds for kernel estimators, uniform error bounds for smoothing splines are derived. Furthermore, based on strong approximations for spline estimators, confidence bands for the unknown regression functions are given. The reason for studying smoothing splines of arbitrary order is their use for data analysis. For splines of arbitrary order, the Kalman filter is the most important method. The authors explain this method and discuss simulation results for smoothing splines and local and global polynomials for a variety of test problems as well as results on confidence bands for the unknown regression functions. The text is intended for graduate students in statistics, operation research and applied mathematics, as well as for researchers and practitioners in the field.

Recommendations

• Maximum penalized likelihood estimation. Vol. 1: Density estimation
• On a class of nonparametric density and regression estimators
• Penalized likelihood-type estimators for generalized nonparametric regression
• scientific article; zbMATH DE number 3905653
• Maximum likelihood estimation and inference. With examples in R, SAS and ADMB
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Cited in

(33)

• Large Sample Properties of Partitioning-Based Series Estimators
• Nonparametric operator-regularized covariance function estimation for functional data
• Uniform in bandwidth consistency of nonparametric regression based on copula representation
• Nonparametric recursive method for kernel-type function estimators for spatial data
• Variational multiscale nonparametric regression: smooth functions
• Operator-theoretic and regularization approaches to ill-posed problems
• Prediction of dynamical time series using kernel based regression and smooth splines
• Confidence sets based on penalized maximum likelihood estimators in Gaussian regression
• On the asymptotics of penalized spline smoothing
• Penalized maximum likelihood estimation of a stochastic multivariate regression model
• Robust penalized estimators for functional linear regression
• Joint non-parametric estimation of mean and auto-covariances for Gaussian processes
• Asymptotics for M-type smoothing splines with non-smooth objective functions
• Minimax nonparametric estimation on maxisets
• Nonparametric distributed learning under general designs
• Optimal convergence rates, Bahadur representation, and asymptotic normality of partitioning estimators
• Ill-posed problems: operator methodologies of resolution and regularization
• The Signal Extraction Approach to Nonlinear Regression and Spline Smoothing
• Kernel density estimation for dynamical systems
• Computational Limits of A Distributed Algorithm For Smoothing Spline
• SIEVE ESTIMATION OF THE MINIMAL ENTROPY MARTINGALE MARGINAL DENSITY WITH APPLICATION TO PRICING KERNEL ESTIMATION
• Robust and efficient estimation of nonparametric generalized linear models
• Robust optimal estimation of location from discretely sampled functional data
• Asymptotic distribution of the wavelet-based estimators of multivariate regression functions under weak dependence
• Functional Uniform-in-Bandwidth Moderate Deviation Principle for the Local Empirical Processes Involving Functional Data
• Uniform convergence of penalized splines
• Gradual variance change point detection with a smoothly changing mean trend
• Robust and adaptive functional logistic regression
• Limit theorems for general recursive regression models involving weakly dependent functional data
• Yurinskii's coupling for martingales
• Resistant dispersion estimation for nonparametric regression
• Uniform estimation and inference for nonparametric partitioning-based M-estimators
• \(M\)-type penalized splines with auxiliary scale estimation

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