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Penalized wavelet monotone regression

Antoniadis, Anestis and Bigot, Jérémie and Gijbels, Irène Penalized wavelet monotone regression. (2007) Statistics & Probability Letters, 77 (16). 1608-1621. ISSN 0167-7152

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Official URL: http://dx.doi.org/10.1016/j.spl.2007.03.041

Abstract

In this paper we focus on nonparametric estimation of a constrained regression function using penalized wavelet regression techniques. This results into a convex op- timization problem under linear constraints. Necessary and sufficient conditions for existence of a unique solution are discussed. The estimator is easily obtained via the dual formulation of the optimization problem. In particular we investigate a penalized wavelet monotone regression estimator. We establish the rate of convergence of this estimator, and illustrate its finite sample performance via a simulation study. We also compare its performance with that of a recently proposed constrained estimator. An illustration to some real data is given.

Item Type:Article
Additional Information:Thanks to Elsevier editor. The definitive version is available at http://www.sciencedirect.com The original PDF of the article can be found at Statistics & Probability Letters website: http://www.sciencedirect.com/science/journal/01677152
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution:French research institutions > Centre National de la Recherche Scientifique - CNRS (FRANCE)
Université de Toulouse > Institut National des Sciences Appliquées de Toulouse - INSA (FRANCE)
Université de Toulouse > Université Toulouse III - Paul Sabatier - UPS (FRANCE)
Université de Toulouse > Université Toulouse - Jean Jaurès - UT2J (FRANCE)
Université de Toulouse > Université Toulouse 1 Capitole - UT1 (FRANCE)
Other partners > Université Joseph Fourier Grenoble 1 - UJF (FRANCE)
Other partners > Katholieke Universiteit Leuven - KU LEUVEN (BELGIUM)
Laboratory name:
Statistics:download
Deposited By: Jérémie Bigot
Deposited On:22 Mar 2013 09:45

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