Nonparametric regression

Nonparametric regression is a category of regression analysis in which the predictor does not take a predetermined form but is constructed according to information derived from the data. Nonparametric regression requires larger sample sizes than regression based on parametric models because the data must supply the model structure as well as the model estimates. Nonparametric regression is a category of regression analysis in which the predictor does not take a predetermined form but is constructed according to information derived from the data. Nonparametric regression requires larger sample sizes than regression based on parametric models because the data must supply the model structure as well as the model estimates. In Gaussian process regression, also known as Kriging, a Gaussian prior is assumed for the regression curve. The errors are assumed to have a multivariate normal distribution and the regression curve is estimated by its posterior mode. The Gaussian prior may depend on unknown hyperparameters, which are usually estimated via empirical Bayes. The hyperparameters typically specify a prior covariance kernel. In case the kernel should also be inferred nonparametrically from the data, the critical filter can be used. Smoothing splines have an interpretation as the posterior mode of a Gaussian process regression. Kernel regression estimates the continuous dependent variable from a limited set of data points by convolving the data points' locations with a kernel function—approximately speaking, the kernel function specifies how to 'blur' the influence of the data points so that their values can be used to predict the value for nearby locations. Nonparametric multiplicative regression (NPMR) is a form of nonparametric regression based on multiplicative kernel estimation. Like other regression methods, the goal is to estimate a response (dependent variable) based on one or more predictors (independent variables). NPMR can be a good choice for a regression method if the following are true: