ESTIMATING ERROR CORRELATION IN NONPARAMETRIC REGRESSION

被引：9

作者：

ALTMAN, NS ^{[1
]}

机构：

[1] CORNELL UNIV,BIOMETR UNIT,ITHACA,NY 14853

来源：

STATISTICS & PROBABILITY LETTERS | 1993年 / 18卷 / 03期

基金：

加拿大自然科学与工程研究理事会;

关键词：

KERNEL SMOOTHING; CORRELATED ERRORS; METHOD OF MOMENTS; TIME SERIES; AUTOCORRELATION;

D O I：

10.1016/0167-7152(93)90219-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Estimates of error correlations in kernel nonparametric regression are obtained using the method of moments. A high order asymptotic expansion of the estimators shows that they are consistent and asymptotically normal at parametric rates, and provides heuristics for the choice of bandwidth and kernel.

引用

页码：213 / 218

页数：6

共 50 条

[1] Estimating functionals of the error distribution in parametric and nonparametric regression
Müller, UU
Schick, A
Wefelmeyer, W
JOURNAL OF NONPARAMETRIC STATISTICS, 2004, 16 (3-4) : 525 - 548
[2] Estimating linear functionals of the error distribution in nonparametric regression
Mülller, UU
Schick, A
Wefelmeyer, W
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2004, 119 (01) : 75 - 93
[3] Estimating the error distribution function in nonparametric regression with multivariate covariates
Mueller, Ursula U.
Schick, Anton
Wefelmeyer, Wolfgang
STATISTICS & PROBABILITY LETTERS, 2009, 79 (07) : 957 - 964
[4] Estimating the error distribution in nonparametric multiple regression with applications to model testing
Neumeyer, Natalie
Van Keilegom, Ingrid
JOURNAL OF MULTIVARIATE ANALYSIS, 2010, 101 (05) : 1067 - 1078
[5] Efficiently estimating the error distribution in nonparametric regression with responses missing at random
Chown, Justin
Mueller, Ursula U.
JOURNAL OF NONPARAMETRIC STATISTICS, 2013, 25 (03) : 665 - 677
[6] ERROR INFERENCE FOR NONPARAMETRIC REGRESSION
RUTHERFORD, B
YAKOWITZ, S
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1991, 43 (01) : 115 - 129
[7] Estimating the error variance in nonparametric regression by a covariate-matched U-statistic
Müller, UU
Schick, A
Wefelmeyer, W
STATISTICS, 2003, 37 (03) : 179 - 188
[8] Testing and Estimating Shape-Constrained Nonparametric Density and Regression in the Presence of Measurement Error
Carroll, Raymond J.
Delaigle, Aurore
Hall, Peter
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2011, 106 (493) : 191 - 202
[9] Estimating a convex function in nonparametric regression
Birke, Melanie
Dette, Holger
SCANDINAVIAN JOURNAL OF STATISTICS, 2007, 34 (02) : 384 - 404
[10] On estimating the nonparametric multiplicative error models
Li, Shuo
Tu, Yundong
ECONOMICS LETTERS, 2016, 143 : 66 - 68

← 1 2 3 4 5 →