Nonparametric regression in exponential families

DOI10.1214/09-AOS762zbMATH Open1202.62050arXiv1010.3836MaRDI QIDQ987997FDOQ987997

Authors: Lawrence Brown, Harrison H. Zhou, T. Tony Cai 

Publication date: 24 August 2010

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

Abstract: Most results in nonparametric regression theory are developed only for the case of additive noise. In such a setting many smoothing techniques including wavelet thresholding methods have been developed and shown to be highly adaptive. In this paper we consider nonparametric regression in exponential families with the main focus on the natural exponential families with a quadratic variance function, which include, for example, Poisson regression, binomial regression and gamma regression. We propose a unified approach of using a mean-matching variance stabilizing transformation to turn the relatively complicated problem of nonparametric regression in exponential families into a standard homoscedastic Gaussian regression problem. Then in principle any good nonparametric Gaussian regression procedure can be applied to the transformed data. To illustrate our general methodology, in this paper we use wavelet block thresholding to construct the final estimators of the regression function. The procedures are easily implementable. Both theoretical and numerical properties of the estimators are investigated. The estimators are shown to enjoy a high degree of adaptivity and spatial adaptivity with near-optimal asymptotic performance over a wide range of Besov spaces. The estimators also perform well numerically.

Full work available at URL: https://arxiv.org/abs/1010.3836

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zbMATH Keywords

waveletsexponential familyJames-Stein estimatorasymptotic equivalenceadaptivityquadratic variance functionquantile couplingnonparametric Gaussian regression

Mathematics Subject Classification ID

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

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Cited In (19)

• Model-based study of families of exponential-type estimators in presence of non response
• Estimation of a delta-contaminated density of a random intensity of Poisson data
• Nonparametric regression on random fields with random design using wavelet method
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• Efficient Learning of Quadratic Variance Function Directed Acyclic Graphs via Topological Layers
• Gaussianization machines for non-Gaussian function estimation models

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