Minimax rates of convergence for nonparametric location-scale models

2023/07/03 by Bingxin Zhao, Zhao, Bingxin, Yuhong Yang +1
Mathematics · #Statistical Methods and Inference #Advanced Statistical Methods and Models #Statistical Distribution Estimation and Applications

paper · pdf · doi:10.48550/arxiv.2307.01399

Abstract

This paper studies minimax rates of convergence for nonparametric location-scale models, which include mean, quantile and expectile regression settings. Under Hellinger differentiability on the error distribution and other mild conditions, we show that the minimax rate of convergence for estimating the regression function under the squared L₂ loss is determined by the metric entropy of the nonparametric function class. Different error distributions, including asymmetric Laplace distribution, asymmetric connected double truncated gamma distribution, connected normal-Laplace distribution, Cauchy distribution and asymmetric normal distribution are studied as examples. Applications on low order interaction models and multiple index models are also given.

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