Let Y ∈ ℝn be a random vector with mean s and covariance matrix σ2PntPn where Pn is some known n × 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 σ2. Our approach is free from any prior assumption on s and is based on non-asymptotic model selection methods. Given some linear spaces collection {Sm, m ∈ ℳ}, we consider, for any m ∈ ℳ, the least-squares estimator ŝm of s in Sm. Considering a penalty function that is not linear in the dimensions of the Sm's, we select some m̂ ∈ ℳ in order to get an estimator ŝm̂ with a quadratic risk as close as possible to the minimal one among the risks of the ŝm's. Non-asymptotic oracle-type inequalities and minimax convergence rates are proved for ŝm̂. 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.
Mots clés : model selection, nonparametric regression, penalized criterion, oracle inequality, correlated data, additive regression, minimax rate
@article{PS_2014__18__77_0,
author = {Gendre, Xavier},
title = {Model selection and estimation of a component in additive regression},
journal = {ESAIM: Probability and Statistics},
pages = {77--116},
publisher = {EDP-Sciences},
volume = {18},
year = {2014},
doi = {10.1051/ps/2012028},
mrnumber = {3143734},
language = {en},
url = {http://www.numdam.org/articles/10.1051/ps/2012028/}
}
TY - JOUR AU - Gendre, Xavier TI - Model selection and estimation of a component in additive regression JO - ESAIM: Probability and Statistics PY - 2014 SP - 77 EP - 116 VL - 18 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps/2012028/ DO - 10.1051/ps/2012028 LA - en ID - PS_2014__18__77_0 ER -
Gendre, Xavier. Model selection and estimation of a component in additive regression. ESAIM: Probability and Statistics, Tome 18 (2014), pp. 77-116. doi : 10.1051/ps/2012028. http://www.numdam.org/articles/10.1051/ps/2012028/
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