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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2403.04248 |
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Table of Contents:
- An asymptotic theory is established for linear functionals of the predictive function given by kernel ridge regression, when the reproducing kernel Hilbert space is equivalent to a Sobolev space. The theory covers a wide variety of linear functionals, including point evaluations, evaluation of derivatives, $L_2$ inner products, etc. We establish the upper and lower bounds of the estimates and their asymptotic normality. It is shown that $λ\sim n^{-1}$ is the universal optimal order of magnitude for the smoothing parameter to balance the variance and the worst-case bias. The theory also implies that the optimal $L_\infty$ error of kernel ridge regression can be attained under the optimal smoothing parameter $λ\sim n^{-1}\log n$. These optimal rates for the smoothing parameter differ from the known optimal rate $λ\sim n^{-\frac{2m}{2m+d}}$ that minimizes the $L_2$ error of the kernel ridge regression.