Support Vector Machines for Additive Models: Consistency and Robustness

Details Support Vector Machines for Additive Models: Consistency and Robustness Support Vector Machines for Additive Models: Consistency and Robustness

2010-07-23

arxiv.org/abs/1007.4062v1

Statistics

Machine Learning

Scientific paper

Support vector machines (SVMs) are special kernel based methods and belong to the most successful learning methods since more than a decade. SVMs can informally be described as a kind of regularized M-estimators for functions and have demonstrated their usefulness in many complicated real-life problems. During the last years a great part of the statistical research on SVMs has concentrated on the question how to design SVMs such that they are universally consistent and statistically robust for nonparametric classification or nonparametric regression purposes. In many applications, some qualitative prior knowledge of the distribution P or of the unknown function f to be estimated is present or the prediction function with a good interpretability is desired, such that a semiparametric model or an additive model is of interest. In this paper we mainly address the question how to design SVMs by choosing the reproducing kernel Hilbert space (RKHS) or its corresponding kernel to obtain consistent and statistically robust estimators in additive models. We give an explicit construction of kernels - and thus of their RKHSs - which leads in combination with a Lipschitz continuous loss function to consistent and statistically robust SMVs for additive models. Examples are quantile regression based on the pinball loss function, regression based on the epsilon-insensitive loss function, and classification based on the hinge loss function.

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