Reducing variance in univariate smoothing

Details Reducing variance in univariate smoothing Reducing variance in univariate smoothing

2007-08-14

arxiv.org/abs/0708.1815v1

Annals of Statistics 2007, Vol. 35, No. 2, 522-542

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053606000001398 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053606000001398

A variance reduction technique in nonparametric smoothing is proposed: at each point of estimation, form a linear combination of a preliminary estimator evaluated at nearby points with the coefficients specified so that the asymptotic bias remains unchanged. The nearby points are chosen to maximize the variance reduction. We study in detail the case of univariate local linear regression. While the new estimator retains many advantages of the local linear estimator, it has appealing asymptotic relative efficiencies. Bandwidth selection rules are available by a simple constant factor adjustment of those for local linear estimation. A simulation study indicates that the finite sample relative efficiency often matches the asymptotic relative efficiency for moderate sample sizes. This technique is very general and has a wide range of applications.

Affiliated with

Also associated with

No associations

Rating

Reducing variance in univariate smoothing does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Reducing variance in univariate smoothing, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Reducing variance in univariate smoothing will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-389049