On construction of prediction intervals for heteroscedastic regression

doi:10.1080/03610918.2022.2093370

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	On construction of prediction intervals for heteroscedastic regression
	Wu, Yun 1,2; Xiong, Shifeng 2
	2022-06-23
发表期刊	COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
ISSN	0361-0918
页码	26
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.
关键词	Interpolation Kernel method Large data Reconstruction parameterization
DOI	10.1080/03610918.2022.2093370
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[12171462]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000819541800001
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/61230
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.