Variogram based noise variance estimation and its use in kernel based regression
نویسندگان
چکیده
Model-free estimates of the noise variance are important for doing model selection and setting tuning parameters. In this paper a data representation is discussed which leads to such an estimator suitable for multidimensional input data. The visual representation called the differogram cloud is based on the 2-norm of the differences of the inputand output-data. A corrected way to estimate the variance of the noise on the output measurement and a (tuning-) parameter free version are derived. Connections with other existing variance estimators and numerical simulations indicate convergence of the estimators. As a special case, this paper focuses on model selection and tuning parameters of Least Squares Support Vector Machines [19].
منابع مشابه
Grade estimation of Zu2 Jajarm deposit by considering imprecise variogram model parameters based on the extension principle
Nowadays, kriging has been accepted as the most common method of grade estimation in mineral resource evaluation stage. Access to the crisp assay data and a variogram model are the necessary means for the utilization of this method. Since fitting a crisp variogram model is generally difficult, if not impossible, the fitted theoretical model is usually tainted with uncertainty due to various rea...
متن کاملDevelopment of a Pharmacogenomics Model based on Support Vector Regression with Optimal Features Selection Approach to Determine the Initial Therapeutic Dose of Warfarin Anticoagulant Drug
Introduction: Using artificial intelligence tools in pharmacogenomics is one of the latest bioinformatics research fields. One of the most important drugs that determining its initial therapeutic dose is difficult is the anticoagulant warfarin. Warfarin is an oral anticoagulant that, due to its narrow therapeutic window and complex interrelationships of individual factors, the selection of its ...
متن کاملDevelopment of a Pharmacogenomics Model based on Support Vector Regression with Optimal Features Selection Approach to Determine the Initial Therapeutic Dose of Warfarin Anticoagulant Drug
Introduction: Using artificial intelligence tools in pharmacogenomics is one of the latest bioinformatics research fields. One of the most important drugs that determining its initial therapeutic dose is difficult is the anticoagulant warfarin. Warfarin is an oral anticoagulant that, due to its narrow therapeutic window and complex interrelationships of individual factors, the selection of its ...
متن کاملRealized Variance and Market Microstructure Noise
We study market microstructure noise in high-frequency data and analyze its implications for the realized variance (RV) under a general specification for the noise. We show that kernel-based estimators can unearth important characteristics of market microstructure noise and that a simple kernel-based estimator dominates the RV for the estimation of integrated variance (IV). An empirical analysi...
متن کاملApproximately unbiased estimation of conditional variance in heteroscedastic kernel ridge regression
In this paper we extend a form of kernel ridge regression for data characterised by a heteroscedastic noise process (introduced in Foxall et al. [1]) in order to provide approximately unbiased estimates of the conditional variance of the target distribution. This is achieved by the use of the leave-one-out cross-validation estimate of the conditional mean when fitting the model of the condition...
متن کامل