Switching nonparametric regression models

DOI10.1080/10485252.2014.941364MaRDI QIDQ2934396zbMATH OpenOpenAlexFDO

Authors Camila P. E. de Souza, N. Heckman

Publication date 12 December 2014

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

Full work available at URL https://arxiv.org/abs/1305.2227, http://hdl.handle.net/10.1080/10485252.2014.941364

zbMATH Keywords

EM algorithmmachine learningnonparametric regressionlatent variablesmixture of Gaussian processesmotorcycle data

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Inference from stochastic processes (62M99)

Abstract: We propose a methodology to analyze data arising from a curve that, over its domain, switches among J states. We consider a sequence of response variables, where each response y depends on a covariate x according to an unobserved state z. The states form a stochastic process and their possible values are j=1,...,J. If z equals j the expected response of y is one of J unknown smooth functions evaluated at x. We call this model a switching nonparametric regression model. We develop an EM algorithm to estimate the parameters of the latent state process and the functions corresponding to the J states. We also obtain standard errors for the parameter estimates of the state process. We conduct simulation studies to analyze the frequentist properties of our estimates. We also apply the proposed methodology to the well-known motorcycle data set treating the data as coming from more than one simulated accident run with unobserved run labels.

Recommendations

• Switching nonparametric regression models for multi-curve data
• Markov-switching generalized additive models
• Constructing a switching regression with unknown switching points
• A state-space approach to polygonal line regression
• An approximate method of constructing a switching regression with unknown switch points

Cites work

• A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
• Bootstrap test for change-points in nonparametric regression
• Dynamical functional prediction and classification, with application to traffic flow prediction
• Fast and simple scatterplot smoothing
• Gaussian processes for machine learning.
• Inference in hidden Markov models.
• Maximum likelihood estimation via the ECM algorithm: A general framework
• Overlapping mixtures of Gaussian processes for the data association problem
• Semiparametric Regression
• The EM Algorithm and Extensions, 2E
• The theory and application of penalized methods or reproducing kernel Hilbert spaces made easy
• Variable bandwidth and local linear regression smoothers

Cited in

(8)

• scientific article; zbMATH DE number 7723598 (Why is no real title available?)
• Bettors' reaction to match dynamics: evidence from in-game betting
• An Efficient Estimation for Switching Regression Models: A Monte Carlo Study
• Nonparametric PU learning of state estimation in Markov switching model
• Switching nonparametric regression models for multi-curve data
• Spline‐based nonparametric inference in general state‐switching models
• Markov-switching generalized additive models
• A generalized panel data switching regression model

This page was built for publication: Switching nonparametric regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2934396)