Regularization parameter selection in indirect regression by residual based bootstrap

DOI10.5705/SS.202018.0160zbMATH Open1453.62389arXiv1610.08663OpenAlexW2963116437MaRDI QIDQ5134476FDOQ5134476

Authors: Nicolai Bissantz, Justin Chown, Holger Dette 

Publication date: 16 November 2020

Published in: STATISTICA SINICA (Search for Journal in Brave)

Abstract: Residual-based analysis is generally considered a cornerstone of statistical methodology. For a special case of indirect regression, we investigate the residual-based empirical distribution function and provide a uniform expansion of this estimator, which is also shown to be asymptotically most precise. This investigation naturally leads to a completely data-driven technique for selecting a regularization parameter used in our indirect regression function estimator. The resulting methodology is based on a smooth bootstrap of the model residuals. A simulation study demonstrates the effectiveness of our approach.

Full work available at URL: https://arxiv.org/abs/1610.08663

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zbMATH Keywords

regularizationbandwidth selectioninverse problemssmooth bootstrapindirect regression estimatorresidual-based empirical distribution function

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Statistical ranking and selection procedures (62F07)

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Cited In (1)

• The empirical process of residuals from an inverse regression

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