Asymptotics for M-type smoothing splines with non-smooth objective functions

Ioannis Kalogridis ()
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Ioannis Kalogridis: University of Leuven

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2022, vol. 31, issue 2, No 8, 373-389

Abstract: Abstract M-type smoothing splines are a broad class of spline estimators that include the popular least-squares smoothing spline but also spline estimators that are less susceptible to outlying observations and model misspecification. However, available asymptotic theory only covers smoothing spline estimators based on smooth objective functions and consequently leaves out frequently used resistant estimators such as quantile and Huber-type smoothing splines. We provide a general treatment in this paper and, assuming only the convexity of the objective function, show that the least-squares (super-)convergence rates can be extended to M-type estimators whose asymptotic properties have not been hitherto described. We further show that auxiliary scale estimates may be handled under significantly weaker assumptions than those found in the literature and we establish optimal rates of convergence for the derivatives, which have not been obtained outside the least-squares framework. A simulation study and a real-data example illustrate the competitive performance of non-smooth M-type splines in relation to the least-squares spline on regular data and their superior performance on data that contain anomalies.

Keywords: Robust nonparametric regression; Smoothing splines; M-estimators; Reproducing kernel Hilbert spaces; 62G08; 62G35; 62G20 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11749-021-00782-y

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