Nonparametric regression, confidence regions and regularization

DOI10.1214/07-AOS575zbMATH Open1173.62023arXiv0711.0690MaRDI QIDQ834356FDOQ834356

Authors: A. Kovac, M. Meise, Laurie Davies 

Publication date: 19 August 2009

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

Abstract: In this paper we offer a unified approach to the problem of nonparametric regression on the unit interval. It is based on a universal, honest and non-asymptotic confidence region which is defined by a set of linear inequalities involving the values of the functions at the design points. Interest will typically centre on certain simplest functions in that region where simplicity can be defined in terms of shape (number of local extremes, intervals of convexity/concavity) or smoothness (bounds on derivatives) or a combination of both. Once some form of regularization has been decided upon the confidence region can be used to provide honest non-asymptotic confidence bounds which are less informative but conceptually much simpler.

Full work available at URL: https://arxiv.org/abs/0711.0690

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zbMATH Keywords

nonparametric regressionconfidence regionconfidence bandsshape regularizationsmoothness regularization

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15)

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Cited In (20)

• Recursive computation of piecewise constant volatilities
• Honest confidence regions for nonparametric regression
• Distribution-free uncertainty quantification for kernel methods by gradient perturbations
• Locally adaptive confidence bands
• Non-asymptotic confidence regions for regularized linear regression estimates
• Confidence bands in density estimation
• Variational multiscale nonparametric regression: smooth functions
• Uniformly valid post-regularization confidence regions for many functional parameters in z-estimation framework
• Locally adaptive image denoising by a statistical multiresolution criterion
• Nonparametric regression in nonstandard spaces
• Inference for the dark energy equation of state using type IA supernova data
• Quantifying the cost of simultaneous non-parametric approximation of several samples
• Title not available (Why is that?)
• Multiscale Change Point Inference
• Residual-based localization and quantification of peaks in X-ray diffractograms
• Multiscale methods for shape constraints in deconvolution: confidence statements for qualitative features
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• Adaptive inference for the mean of a Gaussian process in functional data
• Statistical multiresolution Dantzig estimation in imaging: fundamental concepts and algorithmic framework
• Approximating data

Uses Software

• KernSmooth
• ftnonpar

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