Nonparametric regression estimation onto a Poisson point process covariate
ESAIM: Probability and Statistics, Tome 19 (2015), pp. 251-267.

Let Y be a real random variable and X be a Poisson point process. We investigate rates of convergence of a nonparametric estimate r̂(x) of the regression function r(x) = 𝔼(Y|X = x), based on n independent copies of the pair (X,Y). The estimator r̂ is constructed using a Wiener–Itô decomposition of r(X). In this infinite-dimensional setting, we first obtain a finite sample bound on the expected squared difference 𝔼(r̂(X)-r(X)) 2 . Then, under a condition ensuring that the model is genuinely infinite-dimensional, we obtain the exact rate of convergence of ln𝔼(r̂(X)-r(X)) 2 .

Reçu le :
DOI : 10.1051/ps/2014023
Classification : 62G05, 62G08
Mots clés : Regression estimation, Poisson point process, Wiener–Itô decomposition, rates of convergence
Cadre, Benoît 1 ; Truquet, Lionel 2

1 IRMAR, ENS Rennes, CNRS, UEB, Campus de Ker Lann, Avenue Robert Schuman, 35170 Bruz, France
2 IRMAR, Ensai, CNRS, UEB, Campus de Ker Lann, Avenue Robert Schuman, 35170 Bruz, France
@article{PS_2015__19__251_0,
     author = {Cadre, Beno{\^\i}t and Truquet, Lionel},
     title = {Nonparametric regression estimation onto a {Poisson} point process covariate},
     journal = {ESAIM: Probability and Statistics},
     pages = {251--267},
     publisher = {EDP-Sciences},
     volume = {19},
     year = {2015},
     doi = {10.1051/ps/2014023},
     mrnumber = {3412645},
     zbl = {1392.62109},
     language = {en},
     url = {http://archive.numdam.org/articles/10.1051/ps/2014023/}
}
TY  - JOUR
AU  - Cadre, Benoît
AU  - Truquet, Lionel
TI  - Nonparametric regression estimation onto a Poisson point process covariate
JO  - ESAIM: Probability and Statistics
PY  - 2015
SP  - 251
EP  - 267
VL  - 19
PB  - EDP-Sciences
UR  - http://archive.numdam.org/articles/10.1051/ps/2014023/
DO  - 10.1051/ps/2014023
LA  - en
ID  - PS_2015__19__251_0
ER  - 
%0 Journal Article
%A Cadre, Benoît
%A Truquet, Lionel
%T Nonparametric regression estimation onto a Poisson point process covariate
%J ESAIM: Probability and Statistics
%D 2015
%P 251-267
%V 19
%I EDP-Sciences
%U http://archive.numdam.org/articles/10.1051/ps/2014023/
%R 10.1051/ps/2014023
%G en
%F PS_2015__19__251_0
Cadre, Benoît; Truquet, Lionel. Nonparametric regression estimation onto a Poisson point process covariate. ESAIM: Probability and Statistics, Tome 19 (2015), pp. 251-267. doi : 10.1051/ps/2014023. http://archive.numdam.org/articles/10.1051/ps/2014023/

D. Applebaum, Universal Malliavin calculus in Fock and Lévy-Itô Spaces. Commun. Stoch. Anal. (2009) 119–141. | MR

J.-M. Azais and J.-C. Fort, Remark on the finite-dimensional character of certain results of functional statistics. C.R. Acad. Sci. 351 (2013) 139–141. | MR | Zbl

G. Biau, F. Cérou and A. Guyader, Rates of convergence of the functional k-nearest neighbor estimate. IEEE Trans. Inf. Theory 56 (2010) 2034–2040. | MR | Zbl

G. Biau, B. Cadre and Q. Paris, Cox process functional learning. To appear in Stat. Int. Stoch. Processes (2015). | MR

A. Baìllo, J. Cuesta-Alberto and A. Cuevas, Supervised classification for a family of Gaussian functional models. Scand. J. Statist. 38 (2011) 480–498. | MR | Zbl

B. Cadre, Supervised classification of diffusion paths. Math. Methods Statist. 22 (2013) 213–225. | MR | Zbl

L. Gyor¨fi, M. Kohler, A. Krzyżak and H. Walk, A distribution-Free Theory of Nonparametric Regression. Springer-Verlag, New-York (2002). | MR | Zbl

K. Itô, Spectral type of the shift transformation of differential processes with stationary increments. Trans. Amer. Math. Soc. 81 (1956) 253–263. | MR | Zbl

J.F.C. Kingman, Poisson Processes. In Oxf. Stud. Probab. Oxford Science publications, 1st ed. (1993). | MR | Zbl

G. Last and M.D. Penrose, Poisson process Fock space representation, chaos expansion and covariance inequalities. Probab. Theory Relat. Fields 150 (2011) 663–690. | MR | Zbl

J. Mecke, Stationaire zufällige Maβe auf lokalkompakten abelschen Gruppen. Z. Wahrsch. verw. Geb. 9 (1967) 36–58. | MR | Zbl

D. Nualart and J. Vives, Anticipative calculus for the Poisson process based on the Fock space. Séminaire de Probabilités XXIV. Lect. Notes Math. (1990) 154–165. | MR | Zbl

J.O. Ramsay and B.W. Silverman, Functional Data Analysis. Springer-Verlag, New-York (1997). | MR | Zbl

B.W. Silverman, Density Estimation for Statistics and Data Analysis. Springer-Verlag, New-York (1986). | MR | Zbl

N. Wiener, The homogeneous chaos. Am. J. Math. 60 (1938) 897–936. | JFM | MR

Cité par Sources :