Error-dependent smoothing rules in local linear regression
We suggest an adaptive, error-dependent smoothing method for reducing the variance of local-linear curve estimators. It involves weighting the bandwidth used at the ith datum in proportion to a power of the absolute value of the ith residual. We show that the optimal power is 2/3. Arguing in this way, we prove that asymptotic variance can be reduced by 24% in the case of Normal errors, and by 35% for double-exponential errors. These results might appear to violate Jianqing Fan's bounds on...[Show more]
|Collections||ANU Research Publications|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.