Multivariate nonparametric regression by least squares Jacobi polynomials approximations

arXiv2202.01283MaRDI QIDQ6389983FDOQ6389983

Authors: Asma Ben Saber, Sophie Dabo-Niang, Abderrazek Karoui

Publication date: 2 February 2022

Abstract: In this work, we study a random orthogonal projection based least squares estimator for the stable solution of a multivariate nonparametric regression (MNPR) problem. More precisely, given an integer

d g e q 1

corresponding to the dimension of the MNPR problem, a positive integer

N g e q 1

and a real parameter

a l p h a g e q - f r a c 12,

we show that a fairly large class of

d -

variate regression functions are well and stably approximated by its random projection over the orthonormal set of tensor product

d -

variate Jacobi polynomials with parameters

(a l p h a, a l p h a) .

The associated uni-variate Jacobi polynomials have degree at most

N

and their tensor products are orthonormal over

m a t h c a l U = [0, 1]^{d},

with respect to the associated multivariate Jacobi weights. In particular, if we consider

n

random sampling points

m a t h b f X_{i}

following the

d -

variate Beta distribution, with parameters

(a l p h a + 1, a l p h a + 1),

then we give a relation involving

n, N, a l p h a

to ensure that the resulting

(N + 1)^{d} i m e s (N + 1)^{d}

random projection matrix is well conditioned. Moreover, we provide squared integrated as well as

L^{2} -

risk errors of this estimator. Precise estimates of these errors are given in the case where the regression function belongs to an isotropic Sobolev space

H^{s} (I^{d}),

with

s > f r a c d 2 .

Also, to handle the general and practical case of an unknown distribution of the

m a t h b f X_{i},

we use Shepard's scattered interpolation scheme in order to generate fairly precise approximations of the observed data at

n

i.i.d. sampling points

m a t h b f X_{i}

following a

d -

variate Beta distribution. Finally, we illustrate the performance of our proposed multivariate nonparametric estimator by some numerical simulations with synthetic as well as real data.

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