Adaptive function estimation in nonparametric regression with one-sided errors

DOI10.1214/14-AOS1248MaRDI QIDQ480980zbMATH OpenOpenAlexFDO

Authors Moritz Jirak, Alexander Meister, Markus Reiß

Publication date 12 December 2014

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

Full work available at URL https://arxiv.org/abs/1305.6430

zbMATH Keywords

adaptive convergence ratesbandwidth selectionfrontier estimationLepski's methodminimax optimalitynegative Hill estimatornonregular regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistics of extreme values; tail inference (62G32)

Abstract: We consider the model of nonregular nonparametric regression where smoothness constraints are imposed on the regression function $f$ and the regression errors are assumed to decay with some sharpness level at their endpoints. The aim of this paper is to construct an adaptive estimator for the regression function $f$. In contrast to the standard model where local averaging is fruitful, the nonregular conditions require a substantial different treatment based on local extreme values. We study this model under the realistic setting in which both the smoothness degree $$ and the sharpness degree $mathfrakain(0,infty)$ are unknown in advance. We construct adaptation procedures applying a nested version of Lepski's method and the negative Hill estimator which show no loss in the convergence rates with respect to the general $L_q$-risk and a logarithmic loss with respect to the pointwise risk. Optimality of these rates is proved for $mathfrakain(0,infty)$. Some numerical simulations and an application to real data are provided.

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