Switching nonparametric regression models

DOI10.1080/10485252.2014.941364zbMATH Open1305.62178arXiv1305.2227OpenAlexW2086229908MaRDI QIDQ2934396FDOQ2934396

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

Publication date: 12 December 2014

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

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.

Full work available at URL: https://arxiv.org/abs/1305.2227

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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)

Cites Work

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Cited In (8)

• An Efficient Estimation for Switching Regression Models: A Monte Carlo Study
• Switching nonparametric regression models for multi-curve data
• A generalized panel data switching regression model
• Title not available (Why is that?)
• Spline‐based nonparametric inference in general state‐switching models
• Nonparametric PU learning of state estimation in Markov switching model
• Bettors' reaction to match dynamics: evidence from in-game betting
• Markov-switching generalized additive models

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