Wavelet regression estimation in nonparametric mixed effect models

Claudia Angelini, Daniela De Canditiis and Frédérique Leblanc

Journal of Multivariate Analysis, 2003, vol. 85, issue 2, 267-291

Abstract: We show that a nonparametric estimator of a regression function, obtained as solution of a specific regularization problem is the best linear unbiased predictor in some nonparametric mixed effect model. Since this estimator is intractable from a numerical point of view, we propose a tight approximation of it easy and fast to implement. This second estimator achieves the usual optimal rate of convergence of the mean integrated squared error over a Sobolev class both for equispaced and nonequispaced design. Numerical experiments are presented both on simulated and ERP real data.

Keywords: Wavelets; Besov; spaces; Regularization; BLUP; estimators (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (6)

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