Nonparametric adaptive time-dependent multivariate function estimation

arXiv1210.7640MaRDI QIDQ6236739FDOQ6236739

Authors: Jérémie Bigot, Theofanis Sapatinas 

Publication date: 29 October 2012

Abstract: We consider the nonparametric estimation problem of time-dependent multivariate functions observed in a presence of additive cylindrical Gaussian white noise of a small intensity. We derive minimax lower bounds for the $L^2$-risk in the proposed spatio-temporal model as the intensity goes to zero, when the underlying unknown response function is assumed to belong to a ball of appropriately constructed inhomogeneous time-dependent multivariate functions, motivated by practical applications. Furthermore, we propose both non-adaptive linear and adaptive non-linear wavelet estimators that are asymptotically optimal (in the minimax sense) in a wide range of the so-constructed balls of inhomogeneous time-dependent multivariate functions. The usefulness of the suggested adaptive nonlinear wavelet estimator is illustrated with the help of simulated and real-data examples.

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