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arXiv · 1610.08663

Regularization parameter selection in indirect regression by residual based bootstrap

Nicolai Bissantz·Justin Chown·Holger Dette
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Abstract

Residual-based analysis is generally considered a cornerstone of statistical methodology. For a special case of indirect regression, we investigate the residual-based empirical distribution function and provide a uniform expansion of this estimator, which is also shown to be asymptotically most precise. This investigation naturally leads to a completely data-driven technique for selecting a regularization parameter used in our indirect regression function estimator. The resulting methodology is based on a smooth bootstrap of the model residuals. A simulation study demonstrates the effectiveness of our approach.

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Nicolai Bissantz, Justin Chown, Holger Dette. 2016-10-27. Regularization parameter selection in indirect regression by residual based bootstrap. https://arxiv.org/abs/1610.08663

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