Optimal estimation of variance in nonparametric regression with random design

DOI10.1214/20-AOS1944MaRDI QIDQ1996785zbMATH OpenFDO

Authors Yandi Shen, Chao Gao, Fang Han, Daniela M. Witten

Publication date 26 February 2021

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.10822, https://projecteuclid.org/euclid.aos/1607677248

zbMATH Keywords

nonparametric regressionvariance estimationU-statisticsminimax raterandom design

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Minimax procedures in statistical decision theory (62C20) Response surface designs (62K20)

Abstract: Consider the heteroscedastic nonparametric regression model with random design �egin{align*} Y_i = f(X_i) + V^{1/2}(X_i)varepsilon_i, quad i=1,2,ldots,n, end{align*} with $f(cdot)$ and $V(cdot)$ $alpha$- and $$-H"older smooth, respectively. We show that the minimax rate of estimating $V(cdot)$ under both local and global squared risks is of the order �egin{align*} n^{-frac{8alpha�eta}{4alpha�eta + 2alpha + �eta}} vee n^{-frac{2�eta}{2�eta+1}}, end{align*} where $aveeb:=maxa,b$ for any two real numbers $a,b$. This result extends the fixed design rate $$ derived in Wang et al. [2008] in a non-trivial manner, as indicated by the appearances of both $alpha$ and $$ in the first term. In the special case of constant variance, we show that the minimax rate is $n^{-8alpha/(4alpha+1)}vee{n}^{-1}$ for variance estimation, which further implies the same rate for quadratic functional estimation and thus unifies the minimax rate under the nonparametric regression model with those under the density model and the white noise model. To achieve the minimax rate, we develop a U-statistic-based local polynomial estimator and a lower bound that is constructed over a specified distribution family of randomness designed for both $varepsilo{n}_i$ and $X_i$.

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Cited in

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