Wavelet penalized likelihood estimation in generalized functional models
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Irène Gannaz [1]
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[1] University of Lyon System
University of Lyon System
Arrondissement de Lyon, Francia
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- Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 22, Nº. 1, 2013, págs. 122-158
- Idioma: inglés
- DOI: 10.1007/s11749-012-0310-6
- Texto completo no disponible (Saber más ...)
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Resumen
The paper deals with generalized functional regression. The aim is to estimate the influence of covariates on observations, drawn from an exponential distribution. The link considered has a semiparametric expression: if we are interested in a functional influence of some covariates, we authorize others to be modeled linearly. We thus consider a generalized partially linear regression model with unknown regression coefficients and an unknown nonparametric function. We present a maximum penalized likelihood procedure to estimate the components of the model introducing penalty based wavelet estimators. Asymptotic rates of the estimates of both the parametric and the nonparametric part of the model are given and quasi-minimax optimality is obtained under usual conditions in literature. We establish in particular that the ℓ 1-penalty leads to an adaptive estimation with respect to the regularity of the estimated function. An algorithm based on backfitting and Fisher-scoring is also proposed for implementation. Simulations are used to illustrate the finite sample behavior, including a comparison with kernel- and spline-based methods.
