Estimation of a Projection-Pursuit Type Regression Model
Chen, Hung
Ann. Statist., Tome 19 (1991) no. 1, p. 142-157 / Harvested from Project Euclid
Since the pioneering work of Friedman and Stuetzle in 1981, projection-pursuit algorithms have attracted increasing attention. This is mainly due to their potential for overcoming or reducing difficulties arising in nonparametric regression models associated with the so-called curse of dimensionality, that is, the amount of data required to avoid an unacceptably large variance increasing rapidly with dimensionality. Subsequent work has, however, uncovered a dependence on dimensionality for projection-pursuit regression models. Here we propose a projection-pursuit type estimation scheme, with two additional constraints imposed, for which the rate of convergence of the estimator is shown to be independent of the dimensionality. Let $(\mathbf{X}, Y)$ be a random vector such that $\mathbf{X} = (X_1, \ldots, X_d)^T$ ranges over $R^d$. The conditional mean of $Y$ given $\mathbf{X} = \mathbf{x}$ is assumed to be the sum of no more than $d$ general smooth functions of $\beta^T_i\mathbf{x}$, where $\beta_i \in S^{d - 1}$, the unit sphere in $R^d$ centered at the origin. A least-squares polynomial spline and the final prediction error criterion are used to fit the model to a random sample of size $n$ from the distribution of $(\mathbf{X}, Y)$. Under appropriate conditions, the rate of convergence of the proposed estimator is independent of $d$.
Publié le : 1991-03-14
Classification:  Additive models,  projection pursuit,  polynomial splines,  nonparametric regression,  62J02,  62G20,  62G05
@article{1176347974,
     author = {Chen, Hung},
     title = {Estimation of a Projection-Pursuit Type Regression Model},
     journal = {Ann. Statist.},
     volume = {19},
     number = {1},
     year = {1991},
     pages = { 142-157},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347974}
}
Chen, Hung. Estimation of a Projection-Pursuit Type Regression Model. Ann. Statist., Tome 19 (1991) no. 1, pp.  142-157. http://gdmltest.u-ga.fr/item/1176347974/