Recursive bias estimation for multivariate regression smoothers

DOI10.1051/PS/2013046zbMATH Open1305.62162arXiv1105.3430OpenAlexW2963711189WikidataQ58315122 ScholiaQ58315122MaRDI QIDQ5174366FDOQ5174366

P.-A. Cornillon, Eric Matzner-Lœber, Nicolas W. Hengartner

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: This paper presents a practical and simple fully nonparametric multivariate smoothing procedure that adapts to the underlying smoothness of the true regression function. Our estimator is easily computed by successive application of existing base smoothers (without the need of selecting an optimal smoothing parameter), such as thin-plate spline or kernel smoothers. The resulting smoother has better out of sample predictive capabilities than the underlying base smoother, or competing structurally constrained models (GAM) for small dimension (3 < d < 8) and moderate sample size (n < 800). Moreover our estimator is still useful when (d> 10) and to our knowledge, no other adaptive fully nonparametric regression estimator is available without constrained assumption such as additivity for example. On a real example, the Boston Housing Data, our method reduces the out of sample prediction error by 20 %. An R package ibr, available at CRAN, implements the proposed multivariate nonparametric method in R.

Full work available at URL: https://arxiv.org/abs/1105.3430

zbMATH Keywords

nonparametric regressionkernelstopping rulesthin-plate splinessmoother

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Cited In (6)

• Iterative bias reduction: a comparative study
• Nonparametric Regression Based Image Analysis
• The vanishing learning rate asymptotic for linear \(L^2\)-boosting
• CLEAR: Covariant LEAst-Square Refitting with Applications to Image Restoration
• A new kernel regression approach for robustified L ₂ boosting
• Multiplicative bias corrected nonparametric smoothers

Uses Software

• R
• CRAN
• ibr

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