Minimax and minimax adaptive estimation in multiplicative regression: locally Bayesian approach

DOI10.1007/S00440-011-0354-7zbMATH Open1318.62128OpenAlexW2963713752MaRDI QIDQ714947FDOQ714947

Authors: Michaël Chichignoud 

Publication date: 12 October 2012

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: The paper deals with the non-parametric estimation in the regression with the multiplicative noise. Using the local polynomial fitting and the bayesian approach, we construct the minimax on isotropic H"older class estimator. Next applying Lepski's method, we propose the estimator which is optimally adaptive over the collection of isotropic H"older classes. To prove the optimality of the proposed procedure we establish, in particular, the exponential inequality for the deviation of locally bayesian estimator from the parameter to be estimated. These theoretical results are illustrated by simulation study.

Full work available at URL: https://arxiv.org/abs/1006.0024

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zbMATH Keywords

optimality criterionLepski's methodadaptive bandwidth selectorlocal Bayesian fittingmultiplicative regression

Mathematics Subject Classification ID

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

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Cited In (9)

• Uniform almost sure convergence rate of wavelet estimator for regression model with mixed noise
• Adaptive estimation over anisotropic functional classes via oracle approach
• Nonparametric estimation in a regression model with additive and multiplicative noise
• Adaptation to lowest density regions with application to support recovery
• Adaptive estimation in the single-index model via oracle approach
• Wavelet estimation of a regression model with mixed noises
• Pointwise adaptive estimation of a multivariate function
• Estimation in nonparametric regression model with additive and multiplicative noise via Laguerre series
• A robust, adaptive M-estimator for pointwise estimation in heteroscedastic regression

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