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On construction of prediction intervals for heteroscedastic regression

文献类型：期刊论文

作者Wu, Yun1,2; Xiong, Shifeng2
刊名COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
出版日期2022-06-23
页码26
关键词Interpolation Kernel method Large data Reconstruction parameterization
ISSN号0361-0918
DOI10.1080/03610918.2022.2093370
英文摘要In a real-world regression problem, the variance usually varies with the location, which brings difficulties in prediction of the response. Existing heteroscedastic regression methods suffer from inaccurate estimation and/or high computational complexity, and cannot be used to construct satisfactory prediction intervals for small or large data. This article focuses on the problem of constructing prediction intervals of the response under heteroscedastic regression models. We apply the reconstruction approach to parameterize the mean and variance functions as forms of kernel interpolation, and use the maximum likelihood estimation method to estimate the parameters. Our method allows a small number of parameters in the parameterization forms, and only requires low computational cost. Based on these estimators and some Bayesian modifications, we provide three classes of prediction intervals. Numerical experiments for both small and large datasets indicate that they are very competitive compared with existing heteroscedastic regression methods in terms of coverage rate and computational complexity.
资助项目National Natural Science Foundation of China[12171462]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000819541800001
出版者TAYLOR & FRANCIS INC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/61229]  
专题中国科学院数学与系统科学研究院
通讯作者Xiong, Shifeng
作者单位1.Univ Chinese Acad Sci, Sch Math Sci, Beijing, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, KLSC, NCMIS, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Wu, Yun,Xiong, Shifeng. On construction of prediction intervals for heteroscedastic regression[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION,2022:26.
APA Wu, Yun,&Xiong, Shifeng.(2022).On construction of prediction intervals for heteroscedastic regression.COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION,26.
MLA Wu, Yun,et al."On construction of prediction intervals for heteroscedastic regression".COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION (2022):26.

入库方式： OAI收割

来源：数学与系统科学研究院

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