Summary
This paper introduces a new nonparametric estimator of the regression based on penalized regression splines. Local roughness penalties that rely on local support properties of B-splines are introduced in order to deal with the spatial heterogeneity of the function to be estimated. This estimator is shown to attain optimal rates of convergence. Then its good performances are confirmed on a simulation study.
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Notes
1 Their Matlab programs are available at the address: http://www.orie.cornell.edu/~davidr/matlab/. The function srslocal was used to perform the estimation.
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Acknowledgements
I’m indebted to M. Goulard, P. Sarda and A. Trubuil for helpful discussions which improved this manuscript in various ways.
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Cardot, H. Local roughness penalties for regression splines. Computational Statistics 17, 89–102 (2002). https://doi.org/10.1007/s001800200092
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DOI: https://doi.org/10.1007/s001800200092