Optimal two-stage procedures for estimating location and size of the maximum of a multivariate regression function

DOI10.1214/12-AOS1053zbMATH Open1296.62158arXiv1302.4561OpenAlexW3100239388WikidataQ57429638 ScholiaQ57429638MaRDI QIDQ741809FDOQ741809

Authors: Subhashis Ghosal, Harry van Zanten, E. Belitser 

Publication date: 15 September 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We propose a two-stage procedure for estimating the location $$ and size M of the maximum of a smooth d-variate regression function f. In the first stage, a preliminary estimator of $$ obtained from a standard nonparametric smoothing method is used. At the second stage, we "zoom-in" near the vicinity of the preliminary estimator and make further observations at some design points in that vicinity. We fit an appropriate polynomial regression model to estimate the location and size of the maximum. We establish that, under suitable smoothness conditions and appropriate choice of the zooming, the second stage estimators have better convergence rates than the corresponding first stage estimators of $$ and M. More specifically, for $alpha$-smooth regression functions, the optimal nonparametric rates $n^{-(alpha-1)/(2alpha+d)}$ and $n^{-alpha/(2alpha+d)}$ at the first stage can be improved to $n^{-(alpha-1)/(2alpha)}$ and $n^{-1/2}$, respectively, for $alpha>1+sqrt1+d/2$. These rates are optimal in the class of all possible sequential estimators. Interestingly, the two-stage procedure resolves "the curse of the dimensionality" problem to some extent, as the dimension d does not control the second stage convergence rates, provided that the function class is sufficiently smooth. We consider a multi-stage generalization of our procedure that attains the optimal rate for any smoothness level $alpha>2$ starting with a preliminary estimator with any power-law rate at the first stage.

Full work available at URL: https://arxiv.org/abs/1302.4561

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zbMATH Keywords

sequential designadaptive estimationtwo-stage procedureoptimal ratemulti-stage procedure

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Sequential statistical design (62L05) Sequential estimation (62L12)

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Cited In (4)

• Uniform convergence of local Fréchet regression with applications to locating extrema and time warping for metric space valued trajectories
• Maxima-finding algorithms for multidimensional samples: A two-phase approach
• Estimation and inference for minimizer and minimum of convex functions: optimality, adaptivity and uncertainty principles
• Bayesian mode and maximum estimation and accelerated rates of contraction

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