Adaptive nonparametric regression from repeated measurements under common noise

Abstract

We consider nonparametric estimation of the regression function in a model where individuals share a common noise component and repeated measurements are available for each individual. We propose a projection estimator which minimizes a least-squares contrast that accounts for the covariance structure resulting from the common noise. We analyze its risk measured either as the expectation of the empirical norm or as the expectation of the theoretical norm associated with the contrast. We discuss how the number of repeated measurements affects the estimation rates in the common noise model, and precisely characterize the dependence on the number of repetitions. In addition, we propose a data-driven projection estimator and establish risk bounds in terms of the expected empirical norm. The results are illustrated with some simulation experiments.