Deep regression learning with optimal loss function

In this paper, we develop a novel efficient and robust nonparametric regression estimator under a framework of a feedforward neural network (FNN). There are several interesting characteristics for the proposed estimator. First, the loss function is built upon an estimated maximum likelihood function, which integrates the information from observed data as well as the information from the data distribution. Consequently, the resulting estimator has desirable optimal properties, such as efficiency. Second, different from the traditional maximum likelihood estimation (MLE), the proposed method avoids the specification of the distribution, making it adaptable to various distributions such as heavy tails and multimodal or heterogeneous distributions. Third, the proposed loss function relies on probabilities rather than direct observations as in least square loss, contributing to the robustness of the proposed estimator. Finally, the proposed loss function involves a nonparametric regression function only. This enables the direct application of the existing packages, simplifying the computational and programming requirements. We establish the large sample property of the proposed estimator in terms of its excess risk and minimax near-optimal rate. The theoretical results demonstrate that the proposed estimator is equivalent to the true MLE where the density function is known in terms of excess risk. Our simulation studies show that the proposed estimator outperforms the existing methods based on prediction accuracy, efficiency and robustness. Particularly, it is comparable to the MLE with the known density and even gets slightly better as the sample size increases. This implies that the adaptive and data-driven loss function from the estimated density may offer an additional avenue for capturing valuable information. We further apply the proposed method to four real data examples, resulting in significantly reduced out-of-sample prediction errors compared to existing methods.