Minimax wavelet estimation for multisample heteroscedastic nonparametric regression

DOI10.1080/10485252.2017.1406091zbMATH Open1468.62270arXiv1511.04556OpenAlexW2963731938MaRDI QIDQ4634451FDOQ4634451

Authors: Madison Giacofci, Sophie Lambert-Lacroix, Franck Picard 

Publication date: 10 April 2018

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

Abstract: The problem of estimating the baseline signal from multisample noisy curves is investigated. We consider the functional mixed effects model, and we suppose that the functional fixed effect belongs to the Besov class. This framework allows us to model curves that can exhibit strong irregularities, such as peaks or jumps for instance. The lower bound for the $L_2$ minimax risk is provided, as well as the upper bound of the minimax rate, that is derived by constructing a wavelet estimator for the functional fixed effect. Our work constitutes the first theoretical functional results in multisample non parametric regression. Our approach is illustrated on realistic simulated datasets as well as on experimental data.

Full work available at URL: https://arxiv.org/abs/1511.04556

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zbMATH Keywords

minimax riskwavelet estimatorBesov classirregular dataaverage then shrink approachfunctional mixed-effects modelsinhomogeneous Besov classmultisample datasetstochastically independent random function

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Generalized linear models (logistic models) (62J12)

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Cited In (3)

• Minimax robust designs for wavelet estimation of nonparametric regression models with autocorrelated errors
• Nonparametric pointwise estimation for a regression model with multiplicative noise
• Estimating signals using multiple wavelet kernels

Uses Software

• WaveThresh4
• wavethresh
• curvclust

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