Estimation and Hypothesis Testing of Derivatives in Smoothing Spline ANOVA Models

Abstract

Within the framework of smoothing spline ANOVA, we propose a plug-in kernel ridge regression estimator to estimate the derivatives of the underlying multivariate regression function. We first establish an $L_\infty$ convergence rate of the proposed estimator under general random designs. When the covariates are uniformly distributed, we provide a in-depth analysis that includes a sharp upper bound and the minimax lower bound of the $L_2$ convergence rate. Additionally, motivated by a wide range of applications, we propose a hypothesis testing procedure to examine whether a derivative is zero. Theoretical results demonstrate that the proposed testing procedure achieves the correct size under the null hypothesis and is asymptotically powerful under local alternatives. For ease of use, we also develop an associated bootstrap algorithm to construct the rejection region and calculate p-value, and the consistency of the proposed algorithm is established. Simulation studies using synthetic data and an application to a real-world dataset confirm the effectiveness of our approach.

Figures (4)

• Figure 1: RMSE with $b=1$. Sample size: $n=100$ for top three panels and $n=200$ for bottom three panels.
• Figure 2: Empirical rejection rates with $\alpha=0.1$. DGP 1: left two panels, DGP 2: middle two panels, DGP 3: right two panels.
• Figure 3: Scatter plots for response against predictors
• Figure 4: Heat maps for predictor pairs

Theorems & Definitions (3)

• Example 1
• Example 2
• Example 3