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Tensor product space ANOVA models. (English) Zbl 1105.62329
Summary: To deal with the curse of dimensionality in high-dimensional nonparametric problems, we consider using tensor product space ANOVA models, which extend the popular additive models and are able to capture interactions of any order. The multivariate function is given an ANOVA decomposition, that is, it is expressed as a constant plus the sum of functions of one variable (main effects), plus the sum of functions of two variables (two-factor interactions) and so on. We assume the interactions to be in tensor product spaces. We show in both regression and white noise settings the optimal rate of convergence for the TPS-ANOVA model is within a log factor of the one-dimensional optimal rate, and that the penalized likelihood estimator in TPS-ANOVA achieves this rate of convergence. The quick optimal rate of the TPS-ANOVA model makes it very preferable in high-dimensional function estimation. Many properties of the tensor product space of Sobolev-Hilbert spaces are also given.

62G05 Nonparametric estimation
62H12 Estimation in multivariate analysis
62J10 Analysis of variance and covariance (ANOVA)
46N30 Applications of functional analysis in probability theory and statistics
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