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Adaptive wavelet multivariate regression with errors in variables

12 January 2016
M. Chichignoud
V. Hoang
T. Ngoc
Vincent Rivoirard
ArXiv (abs)PDFHTML
Abstract

In the multidimensional setting, we consider the errors-in-variables model. We aim at estimating the unknown nonparametric multivariate regression function with errors in the covariates. We devise an adaptive estimator based on projection kernels on wavelets and a deconvolution operator. We propose an automatic and fully data driven procedure to select the wavelet level resolution. We obtain an oracle inequality and optimal rates of convergence over anisotropic H{\"o}lder classes. Our theoretical results are illustrated by some simulations.

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