Nonparametric Estimation of the Regression Function in an ErrorsinVariables Model
Abstract
We consider the regression model with errorsinvariables where we observe $n$ i.i.d. copies of $(Y,Z)$ satisfying $Y=f(X)+\xi, Z=X+\sigma\epsilon$, involving independent and unobserved random variables $X,\xi,\epsilon$. The density $g$ of $X$ is unknown, whereas the density of $\sigma\epsilon$ is completely known. Using the observations $(Y\_i, Z\_i)$, $i=1,...,n$, we propose an estimator of the regression function $f$, built as the ratio of two penalized minimum contrast estimators of $\ell=fg$ and $g$, without any prior knowledge on their smoothness. We prove that its $\mathbb{L}\_2$risk on a compact set is bounded by the sum of the two $\mathbb{L}\_2(\mathbb{R})$risks of the estimators of $\ell$ and $g$, and give the rate of convergence of such estimators for various smoothness classes for $\ell$ and $g$, when the errors $\epsilon$ are either ordinary smooth or super smooth. The resulting rate is optimal in a minimax sense in all cases where lower bounds are available.
 Publication:

arXiv Mathematics eprints
 Pub Date:
 November 2005
 arXiv:
 arXiv:math/0511111
 Bibcode:
 2005math.....11111C
 Keywords:

 Mathematics  Statistics;
 (Primary) 62G08;
 62G07;
 (Secondary) 62G05;
 62G20
 EPrint:
 Statistica Sinica 17 (2007) 10651090