Gaussianization Machines for Non-Gaussian Function Estimation Models
These Gaussianization Machines have two key components, binning and transformation. When combined with BlockJS, a wavelet thresholding procedure for Gaussian regression, the procedures are computationally efficient with strong theoretical guarantees. Technical analysis given in Brown et al. (2008, 2010a,b) shows that the estimators attain the optimal rate of convergence adaptively over a large set of Besov spaces and across a collection of non-Gaussian function estimation models, including robust non-parametric regression, density estimation, and nonparametric regression in exponential families. The estimators are also spatially adaptive.
The Gaussianization Machines significantly extend the flexibility and scope of the theories and methodologies originally developed for the conventional nonparametric Gaussian regression. This article aims to provide a concise account of the Gaussianization Machines developed in Brown et al. (2008, 2010a,b).