• Corpus ID: 12487255

Sequential Nonparametric Regression

@article{Gu2012SequentialNR,
  title={Sequential Nonparametric Regression},
  author={Haijie Gu and John D. Lafferty},
  journal={ArXiv},
  year={2012},
  volume={abs/1206.6408}
}
We present algorithms for nonparametric regression in settings where the data are obtained sequentially. While traditional estimators select bandwidths that depend upon the sample size, for sequential data the effective sample size is dynamically changing. We propose a linear time algorithm that adjusts the bandwidth for each new data point, and show that the estimator achieves the optimal minimax rate of convergence. We also propose the use of online expert mixing algorithms to adapt to… 
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