Penalized Likelihood Regression in Reproducing Kernel Hilbert Spaces with Randomized Covariate Data

Details Penalized Likelihood Regression in Reproducing Kernel Hilbert Spaces with Randomized Covariate Data Penalized Likelihood Regression in Reproducing Kernel Hilbert Spaces with Randomized Covariate Data

2010-08-02

arxiv.org/abs/1008.0415v1

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Methodology

46 pages Missing data is a special case of the general theory here

Scientific paper

Classical penalized likelihood regression problems deal with the case that the independent variables data are known exactly. In practice, however, it is common to observe data with incomplete covariate information. We are concerned with a fundamentally important case where some of the observations do not represent the exact covariate information, but only a probability distribution. In this case, the maximum penalized likelihood method can be still applied to estimating the regression function. We first show that the maximum penalized likelihood estimate exists under a mild condition. In the computation, we propose a dimension reduction technique to minimize the penalized likelihood and derive a GACV (Generalized Approximate Cross Validation) to choose the smoothing parameter. Our methods are extended to handle more complicated incomplete data problems, such as, covariate measurement error and partially missing covariates.

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