This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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76
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Type:
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Contributed
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Date/Time:
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Sunday, August 1, 2010 : 4:00 PM to 5:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract - #308643 |
Title:
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Adaptive Estimation in High-Dimensional Response Surface Models via Iterative Thresholding Regularization
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Author(s):
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Samir Touzani*+ and Anestis Antoniadis and Daniel Busby
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Companies:
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French Institut of Petroleum and University Joseph Fourier and French Institut of Petroleum
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Address:
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1 & 4, avenue de Bois Preau, Rueil-Malmaison, International, 92852, France
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Keywords:
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kernel estimation ;
nonparametric regression ;
Smoothing Spline ANOVA
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Abstract:
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To perform the uncertainty analysis of computer experiments we model the outputs as nonparametric regression models with multivariate design points. Under the framework of Smoothing Spline ANOVA, we propose a new method based on L_{2} kernel estimation combined with L_{1} multidimensional regularization. The formulation of our estimator leads to an iterative thresholding algorithm which is designed to select a parsimonious model representation by selecting a small set of ANOVA terms. Numerical studies on simulated and real data, show that our method gives competitive performance compared to COSSO and some Gaussian processes approaches.
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