On a projection estimator of the regression function derivative

DOI10.1080/10485252.2023.2209198MaRDI QIDQ6091909zbMATH OpenFDO

Authors F. Comte, Nicolas Marie

Publication date 21 November 2023

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

Full work available at URL https://arxiv.org/abs/2106.13293

zbMATH Keywords

adaptive procedurederivative estimationnoncompact supportnonparametric regressionoptimal ratesprojection method

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08)

Abstract: In this paper, we study the estimation of the derivative of a regression function in a standard univariate regression model. The estimators are defined either by derivating nonparametric least-squares estimators of the regression function or by estimating the projection of the derivative. We prove two simple risk bounds allowing to compare our estimators. More elaborate bounds under a stability assumption are then provided. Bases and spaces on which we can illustrate our assumptions and first results are both of compact or non compact type, and we discuss the rates reached by our estimators. They turn out to be optimal in the compact case. Lastly, we propose a model selection procedure and prove the associated risk bound. To consider bases with a non compact support makes the problem difficult.

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Cited in

(3)

• Nonparametric estimation from correlated copies of a drifted process
• Nonparametric estimation for additive concurrent regression models
• Projection estimation of regression functions

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