Volume 11, February 2007Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
|Page(s)||344 - 364|
|Published online||17 August 2007|
On pointwise adaptive curve estimation based on inhomogeneous data
Laboratoire de Probabilités et Modèles
Aléatoires, U.M.R. CNRS 7599 and
Université Paris 7, 175 rue du Chevaleret, 75013 Paris, France;
Revised: 20 June 2006
Revised: 10 October 2006
We want to recover a signal based on noisy inhomogeneous data (the amount of data can vary strongly on the estimation domain). We model the data using nonparametric regression with random design, and we focus on the estimation of the regression at a fixed point x0 with little, or much data. We propose a method which adapts both to the local amount of data (the design density is unknown) and to the local smoothness of the regression function. The procedure consists of a local polynomial estimator with a Lepski type data-driven bandwidth selector, see for instance Lepski et al. [Ann. Statist. 25 (1997) 929–947]. We assess this procedure in the minimax setup, over a class of function with local smoothness s > 0 of Hölder type. We quantify the amount of data at x0 in terms of a local property on the design density called regular variation, which allows situations with strong variations in the concentration of the observations. Moreover, the optimality of the procedure is proved within this framework.
Mathematics Subject Classification: 62G05 / 62G08
Key words: Adaptive estimation / inhomogeneous data / nonparametric regression / random design.
© EDP Sciences, SMAI, 2007
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.