On the improved rates of convergence for Matérn-type kernel ridge regression with application to calibration of computer models
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Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Computational methods for problems pertaining to statistics (62-08) Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from spatial processes (62M30) Random fields; image analysis (62M40)
Abstract: Kernel ridge regression is an important nonparametric method for estimating smooth functions. We introduce a new set of conditions, under which the actual rates of convergence of the kernel ridge regression estimator under both the L_2 norm and the norm of the reproducing kernel Hilbert space exceed the standard minimax rates. An application of this theory leads to a new understanding of the Kennedy-O'Hagan approach for calibrating model parameters of computer simulation. We prove that, under certain conditions, the Kennedy-O'Hagan calibration estimator with a known covariance function converges to the minimizer of the norm of the residual function in the reproducing kernel Hilbert space.
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Cited in
(12)- Calibration and prediction for the inexact SIR model
- Kernel ridge vs. principal component regression: minimax bounds and the qualification of regularization operators
- Penalized Projected Kernel Calibration for Computer Models
- Fast Calibration for Computer Models with Massive Physical Observations
- Asymptotic Bounds for Smoothness Parameter Estimates in Gaussian Process Interpolation
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