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

DOI10.1007/S00440-011-0354-7MaRDI QIDQ714947zbMATH OpenOpenAlexFDO

Authors Michaël Chichignoud

Publication date 12 October 2012

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

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

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)

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.

Recommendations

• Minimax Bayes estimation in nonparametric regression
• scientific article; zbMATH DE number 28602
• Adaptive estimators for nonparametric heteroscedastic regression models
• Nonparametric pointwise estimation for a regression model with multiplicative noise
• Adaptive estimation over anisotropic functional classes via oracle approach

Cites work

• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 1522808 (Why is no real title available?)
• Adaptive hypothesis testing using wavelets
• Asymptotically Minimax Adaptive Estimation. I: Upper Bounds. Optimally Adaptive Estimates
• Asymptotically Minimax Adaptive Estimation. II. Schemes without Optimal Adaptation: Adaptive Estimators
• Bandwidth Choice for Average Derivative Estimation
• Minimax theory of image reconstruction
• Nonparametric estimation of composite functions
• On a Problem of Adaptive Estimation in Gaussian White Noise
• Optimal pointwise adaptive methods in nonparametric estimation
• Optimal spatial adaptation to inhomogeneous smoothness: An approach based on kernel estimates with variable bandwidth selectors
• Pointwise and sup-norm sharp adaptive estimation of functions on the Sobolev classes
• Propagation-separation approach for local likelihood estimation
• Risk bounds for model selection via penalization
• Spatially Adaptive Estimation via Fitted Local Likelihood Techniques
• Structural adaptation via \(\mathbb L_p\)-norm oracle inequalities
• Universal pointwise selection rule in multivariate function estimation

Cited in

(9)

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

This page was built for publication: Minimax and minimax adaptive estimation in multiplicative regression: locally Bayesian approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q714947)