Spatial aggregation of local likelihood estimates with applications to classification
AbstractThis paper presents a new method for spatially adaptive local likelihood estimation which applies to a broad class of nonparametric models, including the Gaussian, Poisson and binary response models. The main idea of themethod is given a sequence of local likelihood estimates (``weak´´ estimates),to construct a new aggregated estimate whose pointwise risk is of order of the smallest risk among all ``weak´´ estimates. We also propose a new approach towards selecting the parameters of the procedure by providing the prescribed behavior of the resulting estimate in the simple parametric situation. We establish a number of important theoretical results concerning the optimality of the aggregated estimate. In particular, our ``oracle´´ results claims that its risk is up to some logarithmic multiplier equal to the smallest risk for the given family of estimates. The performance of the procedure is illustrated by application to the classification problem. A numerical study demonstrates its nice performance in simulated and real life examples.
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2006-036.
Length: 33 pages
Date of creation: Apr 2006
Date of revision:
adaptive weights; local likelihood; exponential family; classification;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-13 (All new papers)
- NEP-ECM-2006-05-13 (Econometrics)
- NEP-GEO-2006-05-13 (Economic Geography)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Mstislav Elagin, 2008. "Locally adaptive estimation methods with application to univariate time series," Papers 0812.0449, arXiv.org.
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