Efficient Estimation of Multidimensional Regression Model using Multilayer Perceptrons

Joseph Rynkiewicz (1, 2)

1 CES - Centre d'économie de la Sorbonne
2 SAMOS - Statistique Appliquée et MOdélisation Stochastique

This work concerns the estimation of multidimensional nonlinear regression models using multilayer perceptrons (MLPs). The main problem with such models is that we need to know the covariance matrix of the noise to get an optimal estimator. However, we show in this paper that if we choose as the cost function the logarithm of the determinant of the empirical error covariance matrix, then we get an asymptotically optimal estimator. Moreover, under suitable assumptions, we show that this cost function leads to a very simple asymptotic law for testing the number of parameters of an identifiable MLP. Numerical experiments confirm the theoretical results.

Mots clés: Non-linear regression; Multivariate regression; Multilayer perceptrons; Asymptotic normality

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

Joseph Rynkiewicz. Efficient Estimation of Multidimensional Regression Model using Multilayer Perceptrons. Neurocomputing, 2006, 69 (7-9), pp.671-678. ⟨10.1016/j.neucom.2005.12.008⟩. ⟨hal-00258090⟩