Variance function estimation in regression model via aggregation procedures
From MaRDI portal
Publication:6104906
Abstract: In the regression problem, we consider the problem of estimating the variance function by the means of aggregation methods. We focus on two particular aggregation setting: Model Selection aggregation (MS) and Convex aggregation (C) where the goal is to select the best candidate and to build the best convex combination of candidates respectively among a collection of candidates. In both cases, the construction of the estimator relies on a two-step procedure and requires two independent samples. The first step exploits the first sample to build the candidate estimators for the variance function by the residual-based method and then the second dataset is used to perform the aggregation step. We show the consistency of the proposed method with respect to the L 2error both for MS and C aggregations. We evaluate the performance of these two methods in the heteroscedastic model and illustrate their interest in the regression problem with reject option.
Cites work
- A distribution-free theory of nonparametric regression
- A nearest neighbor estimate of the residual variance
- Adaptive estimation of autoregressive models with time-varying variances
- Adaptive estimation of high-dimensional signal-to-noise ratios
- Aggregated estimators and empirical complexity for least square regression
- Aggregating regression procedures to improve performance
- Aggregation and minimax optimality in high-dimensional estimation
- Aggregation for Gaussian regression
- Aggregation via empirical risk minimization
- Classification with confidence
- Classification with reject option
- Combining regression quantile estimators
- Consistency of plug-in confidence sets for classification in semi-supervised learning
- Consistency of random forests
- Consistent nonparametric regression. Discussion
- Design-adaptive Nonparametric Regression
- Effect of mean on variance function estimation in nonparametric regression
- Efficient estimation of conditional variance functions in stochastic regression
- Empirical risk minimization is optimal for the convex aggregation problem
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- Estimation of heteroscedasticity in regression analysis
- Fast learning rates in statistical inference through aggregation
- Fully Data-Driven Nonparametric Variance Estimators
- Functional aggregation for nonparametric regression.
- scientific article; zbMATH DE number 5957364 (Why is no real title available?)
- scientific article; zbMATH DE number 4100415 (Why is no real title available?)
- scientific article; zbMATH DE number 2168212 (Why is no real title available?)
- scientific article; zbMATH DE number 1833046 (Why is no real title available?)
- Kriging with Nonparametric Variance Function Estimation
- Learning Theory and Kernel Machines
- Lectures on the nearest neighbor method
- Likelihood-Based Local Linear Estimation of the Conditional Variance Function
- Local polynomial estimators of the volatility function in nonparametric autoregression
- Local Polynomial Variance-Function Estimation
- Non-parametric estimation of residual moments and covariance
- Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
- Nonparametric estimation of variance function for functional data under mixing conditions
- NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
- Nonparametric frontier estimation via local linear regression
- Nonparametric modelling for functional data: selected survey and tracks for future
- Nonparametric partitioning estimation of residual and local variance based on first and second nearest neighbours
- On optimum recognition error and reject tradeoff
- Quantile regression.
- Regression discontinuity designs: a guide to practice
- Residual variance estimation using a nearest neighbor statistic
- Variance estimation in nonparametric regression via the difference sequence method
This page was built for publication: Variance function estimation in regression model via aggregation procedures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6104906)
