Conditional density estimation in a regression setting

DOI10.1214/009053607000000253zbMATH Open1129.62025arXiv0803.2984OpenAlexW2143190485MaRDI QIDQ2473073FDOQ2473073

Authors: Sam Efromovich 

Publication date: 26 February 2008

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

Abstract: Regression problems are traditionally analyzed via univariate characteristics like the regression function, scale function and marginal density of regression errors. These characteristics are useful and informative whenever the association between the predictor and the response is relatively simple. More detailed information about the association can be provided by the conditional density of the response given the predictor. For the first time in the literature, this article develops the theory of minimax estimation of the conditional density for regression settings with fixed and random designs of predictors, bounded and unbounded responses and a vast set of anisotropic classes of conditional densities. The study of fixed design regression is of special interest and novelty because the known literature is devoted to the case of random predictors. For the aforementioned models, the paper suggests a universal adaptive estimator which (i) matches performance of an oracle that knows both an underlying model and an estimated conditional density; (ii) is sharp minimax over a vast class of anisotropic conditional densities; (iii) is at least rate minimax when the response is independent of the predictor and thus a bivariate conditional density becomes a univariate density; (iv) is adaptive to an underlying design (fixed or random) of predictors.

Full work available at URL: https://arxiv.org/abs/0803.2984

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zbMATH Keywords

adaptationoracle inequalitylower boundparametricMISEwaste water treatmentanisotropic classanalytic and Sobolev densitiesfinite and infinite supportfixed and random designs

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Minimax procedures in statistical decision theory (62C20)

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Cited In (31)

• Bayesian mixture modeling for multivariate conditional distributions
• Conditionally acceptable recentered set estimators
• Adaptive recursive kernel conditional density estimators under censoring data
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