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KANAZAWA, Yuichiro
Tokunin Kyoju (Professor by Special Appointment) Division of Arts and Sciences, College of Liberal Arts, International Christian University |
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| Language | English |
| Publication Date | 2015/10 |
| Type | Research Paper |
| Peer Review | With peer review |
| Title | On Variance-Stabilizing Multivariate Nonparametric Regression Estimation. |
| Contribution Type | Joint Work |
| Journal | Communications in Statistics - Theory and Method |
| Journal Type | Another Country |
| Publisher | Taylor & Francis |
| Volume, Issue, Pages | 44(10),pp.2151-2175 |
| Author and coauthor | Kiheiji NISHIDA |
| Details | 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 |