Wavelet regression in random design with heteroscedastic dependent errors
Kulik, Rafał ; Raimondo, Marc
Ann. Statist., Tome 37 (2009) no. 1, p. 3396-3430 / Harvested from Project Euclid
We investigate function estimation in nonparametric regression models with random design and heteroscedastic correlated noise. Adaptive properties of warped wavelet nonlinear approximations are studied over a wide range of Besov scales, $f\in\mathcal{B}_{\pi,r}^{s}$ , and for a variety of Lp error measures. We consider error distributions with Long-Range-Dependence parameter α, 0<α≤1; heteroscedasticity is modeled with a design dependent function σ. We prescribe a tuning paradigm, under which warped wavelet estimation achieves partial or full adaptivity results with the rates that are shown to be the minimax rates of convergence. For p>2, it is seen that there are three rate phases, namely the dense, sparse and long range dependence phase, depending on the relative values of s, p, π and α. Furthermore, we show that long range dependence does not come into play for shape estimation f−∫f. The theory is illustrated with some numerical examples.
Publié le : 2009-12-15
Classification:  Adaptive estimation,  nonparametric regression,  shape estimation,  random design,  long range dependence,  wavelets,  thresholding,  maxiset,  warped wavelets,  62G05,  62G08,  62G20
@article{1250515391,
     author = {Kulik, Rafa\l\ and Raimondo, Marc},
     title = {Wavelet regression in random design with heteroscedastic dependent errors},
     journal = {Ann. Statist.},
     volume = {37},
     number = {1},
     year = {2009},
     pages = { 3396-3430},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1250515391}
}
Kulik, Rafał; Raimondo, Marc. Wavelet regression in random design with heteroscedastic dependent errors. Ann. Statist., Tome 37 (2009) no. 1, pp.  3396-3430. http://gdmltest.u-ga.fr/item/1250515391/