COBRA: A Combined Regression Strategy

A new method for combining several initial estimators of the regression function is introduced. Instead of building a linear or convex optimized combination over a collection of basic estimators r1,dots,rM, we use them as a collective indicator of the proximity between the training data and a test observation. This local distance approach is model-free and very fast. More specifically, the resulting nonparametric/nonlinear combined estimator is shown to perform asymptotically at least as well in the L2 sense as the best combination of the basic estimators in the collective. A companion R package called cobra (standing for COmBined Regression Alternative) is presented (downloadable on urlhttp://cran.r-project.org/web/packages/COBRA/index.html). Substantial numerical evidence is provided on both synthetic and real data sets to assess the excellent performance and velocity of our method in a large variety of prediction problems.