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Breaking the Curse of Dimensionality

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  • Mark Coppejans

    (Duke University)

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    Abstract

    This paper proposes a new nonparametric estimator for general regression functions with multiple regressors. The method used here is motivated by a remarkable result derived by Kolmogorov (1957) and later tightened by Lorentz (1966). In short, any continuous function f(x_1,...,x_d) has the representation G[a_1 P_1(x_1) + ... + a_d P_1(x_d)] + ... + G[a_1 P_m(x_1) + ... + a_d P_m(x_d)], m = 2d+1, where G(.) is a continuous function, P_k(.), k=1,...,2d+1, is Lipschitz of order one and strictly increasing, and a_j, j=1,...,d, is some constant. Generalizing this result, we propose the following estimator, g_1[a_1,1 p_1(x_1) + ... + a_d,1 p_1(x_d)] + ... + g_m[a_1,d P_m(x_1) + ... + a_d,d p_m(x_d)], where both g_k(.) and p_k(.) are twice continuously differentiable. These functions are estimated using regression cubic B-splines, which have excellent numerical properties. This problem has been previously intractable because there existed no method for imposing monotonicity on the p_k(.)'s, a priori, such that the estimator is dense in the set of all monotonic cubic B-splines. We derive a method that only requires 2(r+1)+1 restrictions, where r is the number of interior knots. Rates of convergence in L_2 are the same as the optimal rate for the one-dimensional case. A simulation experiment shows that the estimator works well when optimization is performed by using the back-fitting algorithm. The monotonic restriction has many other applications besides the one presented here, such as estimating a demand function. With only r+2 more constraints, it is also possible to impose concavity.

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    Bibliographic Info

    Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 0830.

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    Date of creation: 01 Aug 2000
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    Handle: RePEc:ecm:wc2000:0830

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    Cited by:
    1. Mark Coppejans, Mico Mrkaic & Holger Sieg, 2000. "Experimentation And Learning In Rational Addiction Models With Multiple Addictive Goods," Computing in Economics and Finance 2000 81, Society for Computational Economics.
    2. David E. A. Giles & Robert Draeseke, 2001. "Econometric Modelling based on Pattern recognition via the Fuzzy c-Means Clustering Algorithm," Econometrics Working Papers 0101, Department of Economics, University of Victoria.

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