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Convergence rates of orthogonal series regression estimators

Waldemar Popiński (2000)

Applicationes Mathematicae

General conditions for convergence rates of nonparametric orthogonal series estimators of the regression function f(x)=E(Y | X = x) are considered. The estimators are obtained by the least squares method on the basis of a random observation sample (Yi,Xi), i=1,...,n, where X i A d have marginal distribution with density ϱ L 1 ( A ) and Var( Y | X = x) is bounded on A. Convergence rates of the errors E X ( f ( X ) - f ^ N ( X ) ) 2 and f - f ^ N for the estimator f ^ N ( x ) = k = 1 N c ^ k e k ( x ) , constructed using an orthonormal system e k , k=1,2,..., in L 2 ( A ) are obtained.

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