Positive definite nonparametric regression using an evolutionary algorithm with application to covariance function estimation

• URL: http://arxiv.org/abs/2304.13168v1
• Date: Tue, 25 Apr 2023 22:01:14 GMT
• Title: Positive definite nonparametric regression using an evolutionary algorithm with application to covariance function estimation
• Authors: Myeongjong Kang
• Abstract summary: We propose a novel nonparametric regression framework for estimating covariance functions of stationary processes. Our method can impose positive definiteness, as well as isotropy and monotonicity, on the estimators. Our method provides more reliable estimates for long-range dependence.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We propose a novel nonparametric regression framework subject to the positive definiteness constraint. It offers a highly modular approach for estimating covariance functions of stationary processes. Our method can impose positive definiteness, as well as isotropy and monotonicity, on the estimators, and its hyperparameters can be decided using cross validation. We define our estimators by taking integral transforms of kernel-based distribution surrogates. We then use the iterated density estimation evolutionary algorithm, a variant of estimation of distribution algorithms, to fit the estimators. We also extend our method to estimate covariance functions for point-referenced data. Compared to alternative approaches, our method provides more reliable estimates for long-range dependence. Several numerical studies are performed to demonstrate the efficacy and performance of our method. Also, we illustrate our method using precipitation data from the Spatial Interpolation Comparison 97 project.

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