Adaptive estimators for nonparametric heteroscedastic regression models

Jean-Yves Brua (1)

1 IRMA - Institut de Recherche Mathématique Avancée

This paper deals with the estimation of a regression function at a given point in nonparametric heteroscedastic regression models with Gaussian noise. An adaptive kernel estimator which attains the minimax rate is constructed for the minimax absolute error risk.

Mots clés: Adaptive estimation; Heteroscedastic regression; Kernel estimator; Minimax; Nonparametric regression

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Jean-Yves Brua. Adaptive estimators for nonparametric heteroscedastic regression models. Journal of Nonparametric Statistics, 2009, 21 (8), pp.991-1002. ⟨10.1080/10485250902993645⟩. ⟨hal-00192842v1⟩