カナザワ,ユウイチロウ
KANAZAWA, Yuichiro
金澤 雄一郎 所属 国際基督教大学教養学部 アーツ・サイエンス学科 職種 特任教授 |
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言語種別 | 英語 |
発行・発表の年月 | 2015/10 |
形態種別 | 研究論文 |
査読 | 査読あり |
標題 | On Variance-Stabilizing Multivariate Nonparametric Regression Estimation. |
執筆形態 | 共著 |
掲載誌名 | Communications in Statistics - Theory and Method |
掲載区分 | 国外 |
出版社・発行元 | Taylor & Francis |
巻・号・頁 | 44(10),pp.2151-2175 |
著者・共著者 | Kiheiji NISHIDA |
概要 | The mean squared error (MSE)-minimizing local variable bandwidth for the univariate local linear estimator (the LL) is well-known. This bandwidth does not stabilize variance over the domain. Moreover, in regions where a regression function has zero curvature, the LL estimator is discontinuous. In this paper, we propose a variance-stabilizing (VS) local variable diagonal bandwidth matrix for the multivariate LL estimator. Theoretically, the VS bandwidth can outperform the multivariate extension of the MSE-minimizing local variable scalar bandwidth in terms of asymptotic mean integrated squared error and can avoid discontinuity created by the MSE-minimizing bandwidth. We present an algorithm for estimating the VS bandwidth and simulation studies. |
DOI | 10.1007/s00181-013-0777-3 |