Universal kernel-type estimation of random fields

DOI10.1080/02331888.2023.2231114arXiv2307.00264OpenAlexW4383175964MaRDI QIDQ6132704FDOQ6132704

Authors: Yu. Yu. Linke, Igor S. Borisov, P. S. Ruzankin 

Publication date: 17 August 2023

Published in: Statistics (Search for Journal in Brave)

Abstract: Consistent weighted least square estimators are proposed for a wide class of nonparametric regression models with random regression function, where this real-valued random function of $k$ arguments is assumed to be continuous with probability 1. We obtain explicit upper bounds for the rate of uniform convergence in probability of the new estimators to the unobservable random regression function for both fixed or random designs. In contrast to the predecessors' results, the bounds for the convergence are insensitive to the correlation structure of the $k$-variate design points. As an application, we study the problem of estimating the mean and covariance functions of random fields with additive noise under dense data conditions. The theoretical results of the study are illustrated by simulation examples which show that the new estimators are more accurate in some cases than the Nadaraya--Watson ones. An example of processing real data on earthquakes in Japan in 2012--2021 is included.

Full work available at URL: https://arxiv.org/abs/2307.00264

zbMATH Keywords

nonparametric regressionuniform consistencykernel-type estimator

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08)

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Cited In (1)

• Universal nonparametric kernel-type estimators for the mean and covariance functions of a stochastic process

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