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Horváth B., Csáji B. Cs.: Nonparametric simultaneous confidence bands: The case of known input distributions. 23rd European Young Statisticians Meeting (EYSM 2023, virtual mode), Ljubljana, Slovenia, September 11–15, 2023

EPRINTS SZTAKI

In this paper, we construct nonparametric, nonasymptotic, and simultaneous condence bands for band-limited regression functions based on the theory of Paley-Wiener kernels. We work with a sample of independent and identically distributed (i.i.d.) input-output pairs, the measurement noises are assumed to have a joint distribution that is invariant with respect to transformations from a compact matrix group (e.g., permutations), and we also assume that the distribution of the inputs is a priori known. The task is divided into two steps: rst, we study the case when the outputs are noise-free, then the problem is generalized for measurement noises. The algorithms provide nonasymptotic guarantees for the inclusion of the true regression function in the condence band, simultaneously for all possible inputs. Finally, we demonstrate our results via numerical experiments.

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