ON NONPARAMETRIC KERNEL ESTIMATION OF THE MODE OF THE REGRESSION FUNCTION IN THE RANDOM DESIGN MODEL
Author:
Klaus Ziegler a
| Affiliation: | a Mathematical Institute, University of Munich, Theresienstrasse 39, D-80333 Munich, Germany. |
DOI:
10.1080/10485250215321
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;
Number of References: 40
Formats available:
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Abstract
In the nonparametric regression model with random design, where the regression function m is given by m(x) =
\open E (Y\mid X = x), estimation of the location \theta ( mode ) of a unique maximum of m by the location \hat \theta of a maximum of the Nadaraya-Watson kernel estimator \hat m for the curve m is considered. Within this setting, we obtain consistency and asymptotic normality results for \hat \theta under very mild assumptions on m , the design density g of X and the kernel K . The bandwidths being considered in the present work are data-dependent of the type being generated by plug-in methods. The estimation of the size of the maximum is also considered as well as the estimation of a unique zero of the regression function. Applied to the estimation of the mode of a density, our methods yield some improvements on known results. As a by-product, we obtain some uniform consistency results for the (higher) derivatives of the Nadaraya-Watson estimator with a certain additional uniformity in the bandwiths. The proofs of those rely heavily on empirical process methods.
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| Keywords: Nonparametric Regression; Random Design; Mode; Kernel Smoothing; Nadaraya-Watson Estimator; Data-dependent Bandwidths; Estimation Of Derivatives; Consistency, Asymptotic Normality |
| view references (40) |

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\open E
(Y\mid X = x), estimation of the location \theta ( mode ) of a unique maximum of m by the location \hat
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