Gendre, Xavier
Model selection and estimation of a component in additive regression.
(2014)
ESAIM: Probability and Statistics, 18. 77-116. ISSN 1292-8100
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(Document in English)
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Official URL: https://doi.org/10.1051/ps/2012028
Abstract
Let $Y\in\R^n$ be a random vector with mean $s$ and covariance matrix $\sigma^2P_n\tra{P_n}$ where $P_n$ is some known $n\times n$-matrix. We construct a statistical procedure to estimate $s$ as well as under moment condition on $Y$ or Gaussian hypothesis. Both cases are developed for known or unknown $\sigma^2$. Our approach is free from any prior assumption on $s$ and is based on non-asymptotic model selection methods. Given some linear spaces collection $\{S_m,\ m\in\M\}$, we consider, for any $m\in\M$, the least-squares estimator $\hat{s}_m$ of $s$ in $S_m$. Considering a penalty function that is not linear to the dimensions of the $S_m$'s, we select some $\hat{m}\in\M$ in order to get an estimator $\hat{s}_{\hat{m}}$ with a quadratic risk as close as possible to the minimal one among the risks of the $\hat{s}_m$'s. Non-asymptotic oracle-type inequalities and minimax convergence rates are proved for $\hat{s}_{\hat{m}}$. A special attention is given to the estimation of a non-parametric component in additive models. Finally, we carry out a simulation study in order to illustrate the performances of our estimators in practice.
Item Type: | Article |
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HAL Id: | hal-01597060 |
Audience (journal): | International peer-reviewed journal |
Uncontrolled Keywords: | |
Institution: | French research institutions > Centre National de la Recherche Scientifique - CNRS (FRANCE) Université de Toulouse > Université Toulouse III - Paul Sabatier - UT3 (FRANCE) Université de Toulouse > Université Toulouse - Jean Jaurès - UT2J (FRANCE) Université de Toulouse > Université Toulouse 1 Capitole - UT1 (FRANCE) Other partners > Institut National des Sciences Appliquées - INSA (FRANCE) |
Laboratory name: | |
Statistics: | download |
Deposited On: | 22 Feb 2019 10:10 |
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