Adaptive regression with Brownian path covariate

DOI10.1214/20-AIHP1128zbMATH Open1493.62199arXiv1907.11284MaRDI QIDQ2077331FDOQ2077331

Karine Bertin, Nicolas Klutchnikoff

Publication date: 25 February 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: This paper deals with estimation with functional covariates. More precisely, we aim at estimating the regression function $m$ of a continuous outcome $Y$ against a standard Wiener coprocess $W$. Following Cadre and Truquet (2015) and Cadre, Klutchnikoff, and Massiot (2017) the Wiener-It^o decomposition of $m(W)$ is used to construct a family of estimators. The minimax rate of convergence over specific smoothness classes is obtained. A data-driven selection procedure is defined following the ideas developed by Goldenshluger and Lepski (2011). An oracle-type inequality is obtained which leads to adaptive results.

Full work available at URL: https://arxiv.org/abs/1907.11284

Recommendations

• An adaptive estimation for covariate-adjusted nonparametric regression model
• Adaptive nonparametric regression with conditional heteroskedasticity
• Adaptive covariance estimation with model selection
• Publication:4492939
• Adaptive nonparametric estimation of a multivariate regression function
• Adaptive estimation in a heteroscedastic nonparametric regression
• Stochastic regression in terms of Brownian motion
• Adaptive estimators for nonparametric heteroscedastic regression models
• Adaptive \(M\)-estimation in nonparametric regression

zbMATH Keywords

functional regressionoracle inequalities[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Wiener-It%EF%BF%BD%EF%BF%BD+chaos+expansion&go=Go Wiener-It�� chaos expansion]adaptive minimax rates of convergence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12)

Cites Work

• Functional data analysis.
• Nonparametric functional data analysis. Theory and practice.
• Gaussian processes: Inequalities, small ball probabilities and applications
• Introduction to nonparametric estimation
• Generalized functional linear models
• Prediction in functional linear regression
• A Bennett concentration inequality and its application to suprema of empirical processes
• Concentration inequalities. A nonasymptotic theory of independence
• Rates of Convergence of the Functional $k$-Nearest Neighbor Estimate
• Normal approximations with Malliavin calculus. From Stein's method to universality
• On adaptive minimax density estimation on \(\mathbb R^d\)
• Bandwidth selection in kernel density estimation: oracle inequalities and adaptive minimax optimality
• Lower bound in regression for functional data by representation of small ball probabilities
• Nonparametric regression for functional data: automatic smoothing parameter selection
• Adaptive estimation in the functional nonparametric regression model
• NONPARAMETRIC REGRESSION ON FUNCTIONAL DATA: INFERENCE AND PRACTICAL ASPECTS
• Best constants in moment inequalities for linear combinations of independent and exchangeable random variables
• Smoothing splines estimators for functional linear regression
• Lectures on stochastic differential equations and Malliavin calculus
• Adaptive density estimation on bounded domains
• Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities
• Minimax regression estimation for Poisson coprocess
• Remark on the finite-dimensional character of certain results of functional statistics
• Nonparametric regression estimation onto a Poisson point process covariate

Uses Software

• fda (R)

This page was built for publication: Adaptive regression with Brownian path covariate

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2077331)