Параметры публикации

Тип публикации: 

Книга (брошюра, монография, стандарт)


Adaptive DWO Estimator of a Regression Function

Сведения об издании: 

Report: LiTH-ISY-R-2794. ISSN 1400-3902


ISSN 1400-3902


  • Linkoping, Sweden


  • Linkoping University

Год издания: 


Объём, стр.: 

We address a problem of non-parametric estimation of an unknown regression function f, which maps the closed interval [-1/2, 1/2] to R at a fixed point x0 from (-1/2, 1/2) on the basis of observations (xi, yi), i = 1,..., n such that yi = f(xi) + ei , where ei ~ N(0,q) is unobservable, Gaussian i.i.d. random noise and xi from [-1/2, 1/2] are given design points. Recently, the Direct Weight Optimization (DWO) method has been proposed to solve a problem of such kind. The properties of the method have been studied for the case when the unknown function f is continuously differentiable with Lipschitz continuous derivative having a priori known Lipschitz constant L. The minimax optimality and adaptivity with respect to the design have been established for the resulting estimator. However, in order to implement the approach, both L and q are to be known. The subject of the submission is the study of an adaptive version of the DWO estimator which uses a data-driven choice of the method parameter L.

Библиографическая ссылка: 

Юдицкий А.Б., Назин А.В., Roll J., Ljung L. Adaptive DWO Estimator of a Regression Function. Report: LiTH-ISY-R-2794. ISSN 1400-3902. Linkoping, Sweden: Linkoping University, 2007. – 10 с.