Recursive estimation of the conditional geometric median in Hilbert spaces
From MaRDI portal
Abstract: A recursive estimator of the conditional geometric median in Hilbert spaces is studied. It is based on a stochastic gradient algorithm whose aim is to minimize a weighted L1 criterion and is consequently well adapted for robust online estimation. The weights are controlled by a kernel function and an associated bandwidth. Almost sure convergence and L2 rates of convergence are proved under general conditions on the conditional distribution as well as the sequence of descent steps of the algorithm and the sequence of bandwidths. Asymptotic normality is also proved for the averaged version of the algorithm with an optimal rate of convergence. A simulation study confirms the interest of this new and fast algorithm when the sample sizes are large. Finally, the ability of these recursive algorithms to deal with very high-dimensional data is illustrated on the robust estimation of television audience profiles conditional on the total time spent watching television over a period of 24 hours.
Recommendations
- Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm
- Online estimation of the geometric median in Hilbert spaces: nonasymptotic confidence balls
- Estimating the geometric median in Hilbert spaces with stochastic gradient algorithms: L^p and almost sure rates of convergence
- Recursive Estimation of Conditional Spatial Medians and Conditional Quantiles
- Fast estimation of the median covariation matrix with application to online robust principal components analysis
Cites work
- A class of Wasserstein metrics for probability distributions
- Conditional Functional Principal Components Analysis
- Convergence of functional \(k\)-nearest neighbor regression estimate with functional responses
- Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm
- Functional data analysis.
- How to apply the method of stochastic approximation in the non-parametric estimation of a regression function1
- scientific article; zbMATH DE number 4096466 (Why is no real title available?)
- scientific article; zbMATH DE number 976356 (Why is no real title available?)
- scientific article; zbMATH DE number 1526007 (Why is no real title available?)
- scientific article; zbMATH DE number 847282 (Why is no real title available?)
- scientific article; zbMATH DE number 2222292 (Why is no real title available?)
- Kernel regression with functional response
- Linear functional regression: The case of fixed design and functional response
- Linear processes in function spaces. Theory and applications
- Longitudinal functional principal component analysis
- Nonlinear functional models for functional responses in reproducing kernel hilbert spaces
- On the \(u\)\,th geometric conditional quantile
- Regression Analysis for a Functional Response
- Revisiting R\'ev\'esz's stochastic approximation method for the estimation of a regression function
- The multivariate L 1 -median and associated data depth
- Uniform consistency of a class of regression function estimators for Banach-space valued random variables
Cited in
(17)- Online estimation of hazard rate under random censoring
- Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors
- Online estimation of the geometric median in Hilbert spaces: nonasymptotic confidence balls
- Online estimation of integrated squared density derivatives
- A compact law of the iterated logarithm for online estimator of hazard rate under random censoring
- Recursive estimators of integrated squared density derivatives
- Estimating the geometric median in Hilbert spaces with stochastic gradient algorithms: L^p and almost sure rates of convergence
- Convergence of Markovian stochastic approximation with discontinuous dynamics
- Recursive Estimation of Conditional Spatial Medians and Conditional Quantiles
- Riemannian median and its estimation
- Stochastic approximation for multivariate and functional median
- Robust and scalable Bayes via a median of subset posterior measures
- Asymptotic results of a recursive double kernel estimator of the conditional quantile for functional ergodic data
- Variance estimation and asymptotic confidence bands for the mean estimator of sampled functional data with high entropy unequal probability sampling designs
- A simplified Newton stochastic approximation algorithm estimating the hazard function of censored data
- Efficient and fast estimation of the geometric median in Hilbert spaces with an averaged stochastic gradient algorithm
- Fast estimation of the median covariation matrix with application to online robust principal components analysis
This page was built for publication: Recursive estimation of the conditional geometric median in Hilbert spaces
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1950915)
