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High-dimensional Hilbert–Schmidt linear regression with Hilbert manifold variables

希尔伯特流形变量的高维Hilbert–Schmidt线性回归

In this paper, we propose a novel high-dimensional linear regression technique for variables taking values in Hilbert manifolds. Our approach offers a flexible framework where the response and covariates originate from distinct spaces and are interconnected by Hilbert–Schmidt operators. Our methodology is designed for situations where the number of the covariates grows exponentially fast as the sample size increases and some of the covariates together with the response take…

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Efficient functional Lasso kernel smoothing for high-dimensional additive regression

高维加性回归的高效函数型 Lasso 核平滑

Smooth backfitting has been proposed and proved as a powerful nonparametric estimation technique for additive regression models in various settings. Existing studies are restricted to cases with a moderate number of covariates and are not directly applicable to high dimensional settings. In this paper, we develop new kernel estimators based on the idea of smooth backfitting for high dimensional additive models. We introduce a novel penalization scheme, combining the idea of…

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Partially Linear Additive Regression with a General Hilbertian Response

一般希尔伯特空间响应的部分线性加性回归

In this article we develop semiparametric regression techniques for fitting partially linear additive models. The methods are for a general Hilbert-space-valued response. They use a powerful technique of additive regression in profiling out the additive nonparametric components of the models, which necessarily involves additive regression of the nonadditive effects of covariates. We show that the estimators of the parametric components are n-consistent and asymptotically…

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Nonparametric regression on Lie groups with measurement errors

具有测量误差的李群非参数回归

This paper develops a foundation of methodology and theory for nonparametric regression with Lie group-valued predictors contaminated by measurement errors. Our methodology and theory are based on harmonic analysis on Lie groups, which is largely unknown in statistics. We establish a novel deconvolution regression estimator, and study its rate of convergence and asymptotic distribution. We also provide asymptotic confidence intervals based on the asymptotic distribution of…

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Additive regression for non-Euclidean responses and predictors

非欧几里得响应与预测变量的加性回归

Additive regression is studied in a very general setting where both the response and predictors are allowed to be non-Euclidean. The response takes values in a general separable Hilbert space, whereas the predictors take values in general semimetric spaces, which covers a very wide range of nonstandard response variables and predictors. A general framework of estimating additive models is presented for semimetric space-valued predictors. In particular, full details of…

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Additive regression with Hilbertian responses

希尔伯特空间值响应的加性回归

This paper develops a foundation of methodology and theory for the estimation of structured nonparametric regression models with Hilbertian responses. Our method and theory are focused on the additive model, while the main ideas may be adapted to other structured models. For this, the notion of Bochner integration is introduced for Banach-space-valued maps as a generalization of Lebesgue integration. Several statistical properties of Bochner integrals, relevant for our…

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Additive Functional Regression for Densities as Responses

以密度为响应的加性函数回归

We propose and investigate additive density regression, a novel additive functional regression model for situations where the responses are random distributions that can be viewed as random densities and the predictors are vectors. Data in the form of samples of densities or distributions are increasingly encountered in statistical analysis and there is a need for flexible regression models that accommodate random densities as responses. Such models are of special interest…

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Smooth backfitting for errors-in-variables additive models

含测量误差的加性模型的平滑回拟合

In this work, we develop a new smooth backfitting method and theory for estimating additive nonparametric regression models when the covariates are contaminated by measurement errors. For this, we devise a new kernel function that suitably deconvolutes the bias due to measurement errors as well as renders a projection interpretation to the resulting estimator in the space of additive functions. The deconvolution property and the projection interpretation are essential for a…

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Operational time and in-sample density forecasting

操作时间与样本内密度预测

In this paper, we consider a new structural model for in-sample density forecasting. In-sample density forecasting is to estimate a structured density on a region where data are observed and then reuse the estimated structured density on some region where data are not observed. Our structural assumption is that the density is a product of one-dimensional functions with one function sitting on the scale of a transformed space of observations. The transformation involves…

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Data Envelope Fitting with Constrained Polynomial Splines

使用受约束多项式样条拟合数据包络

Summary Estimation of support frontiers and boundaries often involves monotone and/or concave edge data smoothing. This estimation problem arises in various unrelated contexts, such as optimal cost and production assessments in econometrics and master curve prediction in the reliability programmes of nuclear reactors. Very few constrained estimators of the support boundary of a bivariate distribution have been introduced in the literature. They are based on simple…

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Asymptotics for in-sample density forecasting

样本内密度预测的渐近理论

This paper generalizes recent proposals of density forecasting models and it develops theory for this class of models. In density forecasting, the density of observations is estimated in regions where the density is not observed. Identification of the density in such regions is guaranteed by structural assumptions on the density that allows exact extrapolation. In this paper, the structural assumption is made that the density is a product of one-dimensional functions. The…

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Backfitting and smooth backfitting in varying coefficient quantile regression

变系数分位数回归中的回拟合与光滑回拟合

In this paper, we study ordinary backfitting and smooth backfitting as methods of fitting varying coefficient quantile models. We do this in a unified framework that accommodates various types of varying coefficient models. Our framework also covers the additive quantile model as a special case. Under a set of weak conditions, we derive the asymptotic distributions of the backfitting estimators. We also briefly report on the results of a simulation study.

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Model Selection via Bayesian Information Criterion for Quantile Regression Models

分位数回归模型的贝叶斯信息准则选择

Bayesian information criterion (BIC) is known to identify the true model consistently as long as the predictor dimension is finite. Recently, its moderate modifications have been shown to be consistent in model selection even when the number of variables diverges. Those works have been done mostly in mean regression, but rarely in quantile regression. The best-known results about BIC for quantile regression are for linear models with a fixed number of variables. In this…

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Time-Varying Additive Models for Longitudinal Data

纵向数据的时变加性模型

The additive model is an effective dimension-reduction approach that also provides flexibility in modeling the relation between a response variable and key covariates. The literature is largely developed to scalar response and vector covariates. In this article, more complex data are of interest, where both the response and the covariates are functions. We propose a functional additive model together with a new backfitting algorithm to estimate the unknown regression…

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Flexible generalized varying coefficient regression models

灵活的广义变系数回归模型

This paper studies a very flexible model that can be used widely to analyze the relation between a response and multiple covariates. The model is nonparametric, yet renders easy interpretation for the effects of the covariates. The model accommodates both continuous and discrete random variables for the response and covariates. It is quite flexible to cover the generalized varying coefficient models and the generalized additive models as special cases. Under a weak condition…

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Backfitting and smooth backfitting for additive quantile models

加性分位数模型的回拟合与平滑回拟合

In this paper, we study the ordinary backfitting and smooth backfitting as methods of fitting additive quantile models. We show that these backfitting quantile estimators are asymptotically equivalent to the corresponding backfitting estimators of the additive components in a specially-designed additive mean regression model. This implies that the theoretical properties of the backfitting quantile estimators are not unlike those of backfitting mean regression estimators. We…

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Asymptotic distribution of conical-hull estimators of directional edges

方向边界锥包估计量的渐近分布

Nonparametric data envelopment analysis (DEA) estimators have been widely applied in analysis of productive efficiency. Typically they are defined in terms of convex-hulls of the observed combinations of inputs×outputs in a sample of enterprises. The shape of the convex-hull relies on a hypothesis on the shape of the technology, defined as the boundary of the set of technically attainable points in the inputs × outputs space. So far, only the statistical properties of the…

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Time Series Modelling With Semiparametric Factor Dynamics

具有半参数因子动态的时间序列建模

High-dimensional regression problems, which reveal dynamic behavior, are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such high-dimensional problems occur frequently in many different fields of science. In this article we address the problem of inference when the factors and factor loadings are estimated by semiparametric methods. This more flexible modeling…

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Choice of neighbor order in nearest-neighbor classification

最近邻分类中的邻居阶数选择

The kth-nearest neighbor rule is arguably the simplest and most intuitively appealing nonparametric classification procedure. However, application of this method is inhibited by lack of knowledge about its properties, in particular, about the manner in which it is influenced by the value of k; and by the absence of techniques for empirical choice of k. In the present paper we detail the way in which the value of k determines the misclassification error. We consider two…

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Local likelihood estimation of truncated regression and its partial derivatives: Theory and application

截断回归及其偏导数的局部似然估计:理论与应用

In this paper we propose a very flexible estimator in the context of truncated regression that does not require parametric assumptions. To do this, we adapt the theory of local maximum likelihood estimation. We provide the asymptotic results and illustrate the performance of our estimator on simulated and real data sets. Our estimator performs as well as the fully parametric estimator when the assumptions for the latter hold, but as expected, much better when they do not…

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Smooth backfitting in generalized additive models

广义加性模型中的平滑回拟合

Generalized additive models have been popular among statisticians and data analysts in multivariate nonparametric regression with non-Gaussian responses including binary and count data. In this paper, a new likelihood approach for fitting generalized additive models is proposed. It aims to maximize a smoothed likelihood. The additive functions are estimated by solving a system of nonlinear integral equations. An iterative algorithm based on smooth backfitting is developed…

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