M-type penalized splines with auxiliary scale estimation

DOI10.1016/J.JSPI.2020.09.004zbMATH Open1460.62052arXiv1906.08577OpenAlexW2951225729MaRDI QIDQ830684FDOQ830684

Ioannis Kalogridis, Stefan Van Aelst

Publication date: 7 May 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: Penalized spline smoothing is a popular and flexible method of obtaining estimates in nonparametric regression but the classical least-squares criterion is highly susceptible to model deviations and atypical observations. Penalized spline estimation with a resistant loss function is a natural remedy, yet to this day the asymptotic properties of M-type penalized spline estimators have not been studied. We show in this paper that M-type penalized spline estimators achieve the same rates of convergence as their least-squares counterparts, even with auxiliary scale estimation. We further find theoretical justification for the use of a small number of knots relative to the sample size. We illustrate the benefits of M-type penalized splines in a Monte-Carlo study and two real-data examples, which contain atypical observations.

Full work available at URL: https://arxiv.org/abs/1906.08577

Recommendations

• Asymptotics for M-type smoothing splines with non-smooth objective functions
• scientific article; zbMATH DE number 954487
• Asymptotic properties of penalized spline estimators
• Robust penalized regression spline fitting with application to additive mixed modelling
• \(M\)-type smoothing splines with auxiliary scale estimation

zbMATH Keywords

asymptoticspenalized splines\(M\)-estimationauxiliary scale

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)

Cites Work

• Semiparametric Regression
• An Introduction to Statistical Learning
• Flexible smoothing with \(B\)-splines and penalties. With comments and a rejoinder by the authors
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Asymptotic properties of penalized spline estimators
• Title not available (Why is that?)
• Title not available (Why is that?)
• Robust Estimation of a Location Parameter
• A practical guide to splines.
• Additive regression and other nonparametric models
• Title not available (Why is that?)
• Robust Statistics
• All of Nonparametric Statistics
• Robust Statistics
• Optimal global rates of convergence for nonparametric regression
• Asymptotic theory of penalized splines
• Title not available (Why is that?)
• Title not available (Why is that?)
• Maximum penalized likelihood estimation. Volume II: Regression
• Asymptotic integrated mean square error using least squares and bias minimizing splines
• Local asymptotics for regression splines and confidence regions
• Robust Inference for Generalized Linear Models
• Title not available (Why is that?)
• A statistical perspective on ill-posed inverse problems (with discussion)
• Residual variance and residual pattern in nonlinear regression
• On the asymptotics of penalized splines
• Robust penalized regression spline fitting with application to additive mixed modelling
• Robust plug-in bandwidth estimators in nonparametric regression
• Title not available (Why is that?)
• Asymptotics for M-type smoothing splines
• Asymptotic behavior of M-estimators for the linear model
• \(M\)-type smoothing splines with auxiliary scale estimation
• A smoothing principle for the Huber and other location \(M\)-estimators
• Title not available (Why is that?)
• Splines in Statistics
• Title not available (Why is that?)
• Theory for penalised spline regression

Cited In (6)

• Penalized unimodal spline density estimation with application to \(M\)-estimation
• Robust penalized estimators for functional linear regression
• Robust and efficient estimation of nonparametric generalized linear models
• Maximum correntropy criterion regression models with tending-to-zero scale parameters
• Title not available (Why is that?)
• \(M\)-type smoothing splines with auxiliary scale estimation

Uses Software

• R
• robustbase
• gss
• SemiPar
• gamair
• ISLR

This page was built for publication: \(M\)-type penalized splines with auxiliary scale estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q830684)