Warped bases for conditional density estimation - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Mathematical Methods of Statistics Année : 2013

Warped bases for conditional density estimation

Gaëlle Chagny

Résumé

We consider the problem of estimating the conditional density $\pi$ of a response vector $Y$ given the predictor $X$ (which is assumed to be a continuous variable). We provide an adaptive nonparametric strategy to estimate $\pi$, based on model selection. We start with a collection of finite dimensional product spaces, spanned by orthonormal bases. But instead of expanding directly the target function $\pi$ on these bases, we prefer to consider the expansion of $h(x,y)=\pi(F_X^{-1}(x),y)$, where $F_X$ is the cumulative distribution function of the variable $X$. This 'warping' of the bases allows us to propose a family of projection estimators easier to compute than estimators resulting from the minimization of a regression-type contrast. The data-driven selection of the best estimator $\hat{h}$ for the function $h$, is done with a model selection device in the spirit of Goldenshluger and Lepski (2011). The resulting estimator is $\hat{\pi}(x,y)=\hat{h}(\hat{F}(x),y)$ otherwise, where $\hat{F}$ is the empirical distribution function. We prove that it realises a global squared-bias/variance compromise, in a context of anisotropic function classes: we establish non-asymptotic mean-squared integrated risk bounds and also provide risk convergence rates. Simulation experiments illustrate the method.
Fichier principal
Vignette du fichier
DensCondpngRevisionHal.pdf (846.36 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-00641560 , version 1 (16-11-2011)
hal-00641560 , version 2 (26-06-2012)

Identifiants

Citer

Gaëlle Chagny. Warped bases for conditional density estimation. Mathematical Methods of Statistics, 2013, 22 (4), pp.253-282. ⟨10.3103/S1066530713040017⟩. ⟨hal-00641560v2⟩
121 Consultations
558 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More