Switching nonparametric regression models for multi-curve data

DOI10.1002/CJS.11331MaRDI QIDQ4960864zbMATH OpenOpenAlexFDO

Authors

Publication date 23 April 2020

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.02813

zbMATH Keywords

EM algorithmfunctional data analysislatent variablesmachine learningnonparametric regressionpower usageswitching nonparametric regression model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Learning and adaptive systems in artificial intelligence (68T05)

Abstract: We develop and apply an approach for analyzing multi-curve data where each curve is driven by a latent state process. The state at any particular point determines a smooth function, forcing the individual curve to switch from one function to another. Thus each curve follows what we call a switching nonparametric regression model. We develop an EM algorithm to estimate the model parameters. We also obtain standard errors for the parameter estimates of the state process. We consider several types of state processes: independent and identically distributed, independent but depending on a covariate and Markov. Simulation studies show the frequentist properties of our estimates. We apply our methods to a data set of a building's power usage.

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Cited in

(5)

• Switching nonparametric regression models
• Modelling multi-scale, state-switching functional data with hidden Markov models
• Spline‐based nonparametric inference in general state‐switching models
• Bayesian adaptive selection of basis functions for functional data representation
• Clustering functional data via variational inference

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