Efficient Estimation of Multidimensional Regression Model with Multilayer Perceptron

Joseph Rynkiewicz (1, 2)

1 SAMOS - Statistique Appliquée et MOdélisation Stochastique
2 MATISSE - UMR 8595 - Modélisation Appliquée, Trajectoires Institutionnelles et Stratégies Socio-Économiques

This work concerns estimation of multidimensional nonlinear regression models using multilayer perceptron (MLP). The main problem with such model is that we have to know the covariance matrix of the noise to get optimal estimator. however we show that, if we choose as cost function the logarithm of the determinant of the empirical error covariance matrix, we get an asymptotically optimal estimator.

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

Joseph Rynkiewicz. Efficient Estimation of Multidimensional Regression Model with Multilayer Perceptron. ESANN 2005, 2005, Bruges, Belgium. pp.223-227. ⟨hal-00258200⟩