A robust estimation for the extended t-process regression model

DOI10.1016/J.SPL.2019.108626MaRDI QIDQ2288780zbMATH OpenOpenAlexWikidataFDO

Authors Kai Li, Zhanfeng Wang, Jianqing Shi

Publication date 20 January 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.07701

zbMATH Keywords

functional datainformation consistencymaximum a posteriorspike and slab priors

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02) Functional data analysis (62R10)

Abstract: Robust estimation and variable selection procedure are developed for the extended t-process regression model with functional data. Statistical properties such as consistency of estimators and predictions are obtained. Numerical studies show that the proposed method performs well.

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Cites work

• A majorization-minimization approach to variable selection using spike and slab priors
• Extended t-process regression models
• Gaussian processes for machine learning.
• Information Consistency of Nonparametric Gaussian Process Methods
• Multivariate Student-t regression models: Pitfalls and inference
• Penalized Gaussian process regression and classification for high-dimensional nonlinear data
• Spike and slab variable selection: frequentist and Bayesian strategies

Cited in

(6)

• Bayesian estimation for the extended \(t\)-process regression models with independent errors
• Extended t-process regression models
• A robust estimation of spline function
• Dependent robust functional ANOVA model with \(t\) process
• Composite T-process regression models
• A general robust t-process regression model

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