A Distribution-free Theory of Nonparametric Regression - download pdf or read online

By László Györfi, Michael Kohler, Adam Krzyzak, Harro Walk

ISBN-10: 1441929983

ISBN-13: 9781441929983

This publication presents a scientific in-depth research of nonparametric regression with random layout. It covers just about all recognized estimates reminiscent of classical neighborhood averaging estimates together with kernel, partitioning and nearest neighbor estimates, least squares estimates utilizing splines, neural networks and radial foundation functionality networks, penalized least squares estimates, neighborhood polynomial kernel estimates, and orthogonal sequence estimates. The emphasis is on distribution-free homes of the estimates. such a lot consistency effects are legitimate for all distributions of the information. each time it isn't attainable to derive distribution-free effects, as when it comes to the charges of convergence, the emphasis is on effects which require as few constrains on distributions as attainable, on distribution-free inequalities, and on adaptation.
The correct mathematical conception is systematically constructed and calls for just a easy wisdom of chance thought. The publication might be a invaluable reference for a person drawn to nonparametric regression and is a wealthy resource of many helpful mathematical recommendations greatly scattered within the literature. particularly, the e-book introduces the reader to empirical procedure conception, martingales and approximation homes of neural networks.

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Additional resources for A Distribution-free Theory of Nonparametric Regression

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1 Slow Rate Recall that the nonparametric regression problem is formulated as follows: Given the observation X and the training data Dn = {(X1 , Y1 ), . . , (Xn , Yn )} of independent and identically distributed random variables, estimate the random variable Y by a regression function estimate mn (X) = mn (X, Dn ). The error criterion is the L2 error mn − m 2 = (mn (x) − m(x))2 µ(dx). Obviously, the average L2 error E mn − m 2 is completely determined by the distribution of the pair (X, Y ) and the regression function estimator mn .

Usually the weights are nonnegative and Wn,i (x) is “small” if Xi is “far” from x. An example of such an estimate is the partitioning estimate. Here one chooses a finite or countably infinite partition Pn = {An,1 , An,2 , . 1) where IA denotes the indicator function of set A, so Wn,i (x) = I{Xi ∈An,j } n l=1 I{Xl ∈An,j } for x ∈ An,j . Here and in the following we use the convention 00 = 0. The second example of a local averaging estimate is the Nadaraya– Watson kernel estimate. Let K : Rd → R+ be a function called the kernel function, and let h > 0 be a bandwidth.

Let p = k + β for some k ∈ N0 and 0 < β ≤ 1, and let C > 0. A function f : Rd → R is called (p, C)-smooth if for every k d f α = (α1 , . . ∂x αd 1 exists and satisfies 1 ∂xα 1 ∂kf ∂kf (z) ≤ C · x − z αd (x) − α1 d ∂x1 . . ∂xα . . ∂xd d β d (x, z ∈ Rd ). Let F (p,C) be the set of all (p, C)-smooth functions f : Rd → R. ¯ and {an } is an lower minimax rate of convergence Clearly, if D ⊆ D ¯ Thus, to for D, then it is also a lower minimax rate of convergence for D. determine lower minimax rates of convergence, it might be useful to restrict the class of distributions.

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A Distribution-free Theory of Nonparametric Regression by László Györfi, Michael Kohler, Adam Krzyzak, Harro Walk


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