A kernel-based consensual regression aggregation method

schedule le lundi 03 février 2020 de 17h30 à 18h30

Organisé par : F. Bechtold, W. Da Silva , A. Fermanian, S. Has, Y. Yu

Intervenant : Sothea HAS (LPSM)
Lieu : P7 Sophie Germain 1016

Sujet : A kernel-based consensual regression aggregation method

Résumé :

In this talk, we introduce a kernel-based consensual aggregation method for regression problems. We aim to flexibly combine individual regression estimators r_1,r_2,...,r_M using a weighted average where the weights are defined based on some kernel function and the consensus of those basic estimators. We show that this kernel-based configuration asymptotically inherits the consistency property of the basic consistent estimators. Moreover, numerical experiments carried out on several simulated and real datasets confirm that the proposed method mostly outperforms or at least biases towards the best candidate estimator of the combination.