论文标题
关于使用插件内核脊回归估计器估算衍生物的估计
On the Estimation of Derivatives Using Plug-in Kernel Ridge Regression Estimators
论文作者
论文摘要
我们研究了估计回归函数的衍生物的问题,该函数具有广泛的应用,作为未知函数的关键非参数功能。标准分析可能是针对特定衍生阶订单量身定制的,并且参数调整仍然是一个艰巨的挑战,尤其是对于高阶导数。在本文中,我们提出了一个简单的插入式内核脊回归(KRR)估计器,其非参数回归中具有随机设计,该设计广泛适用于多维支持和任意混合派生衍生物。我们提供了非反应分析,以统一的方式研究提出的估计量的行为,该估计量包含回归函数及其衍生物,从而在强$ l_ \ infty $ norm中导致了一般核类核的两个误差范围。在专门针对具有多项式衰减特征值核的具体示例中,提出的估计器将最小值的最佳速率恢复到对数因子,以估计Hölder和Sobolev类功能的衍生物。有趣的是,所提出的估计器可在任何衍生物中使用相同的调整参数选择达到最佳收敛速率。因此,所提出的估计器享受\ textit {插件属性}的衍生物,因为它会自动适应要估算的衍生物顺序,从而在实践中轻松调整。我们的仿真研究表明,相对于几种现有方法,提出的方法的有限样本性能有限,并证实了其最小值最优性的理论发现。
We study the problem of estimating the derivatives of a regression function, which has a wide range of applications as a key nonparametric functional of unknown functions. Standard analysis may be tailored to specific derivative orders, and parameter tuning remains a daunting challenge particularly for high-order derivatives. In this article, we propose a simple plug-in kernel ridge regression (KRR) estimator in nonparametric regression with random design that is broadly applicable for multi-dimensional support and arbitrary mixed-partial derivatives. We provide a non-asymptotic analysis to study the behavior of the proposed estimator in a unified manner that encompasses the regression function and its derivatives, leading to two error bounds for a general class of kernels under the strong $L_\infty$ norm. In a concrete example specialized to kernels with polynomially decaying eigenvalues, the proposed estimator recovers the minimax optimal rate up to a logarithmic factor for estimating derivatives of functions in Hölder and Sobolev classes. Interestingly, the proposed estimator achieves the optimal rate of convergence with the same choice of tuning parameter for any order of derivatives. Hence, the proposed estimator enjoys a \textit{plug-in property} for derivatives in that it automatically adapts to the order of derivatives to be estimated, enabling easy tuning in practice. Our simulation studies show favorable finite sample performance of the proposed method relative to several existing methods and corroborate the theoretical findings on its minimax optimality.