On approximations to the bias of the nadaraya-watson regression estimator
Author:
Klaus Ziegler a
| Affiliation: | a Mathematical Institute, University of Munich, Munich, Germany |
DOI:
10.1080/10485250108832866
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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(English)
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Abstract
The Nadaraya Watson regression curve estimator is given as a ratio m = f/g. Under very mild assumptions (in particular not including any continuity of the regression function or design density), the uniform asymptotic deviation of the expectation Em from the ratio Er/Eg (a quantity usually appearing in inspections of the asymptotic properties of m) is investigated. Our approach covers several types of data-dependent bandwidths and remains valid for classes of regression functions.
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| Keywords: Nonparametric regression; Random design; Kernel smoothing; Rates of uniform convergence |
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