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   教授
言語種別 英語
発行・発表の年月 2011
形態種別 研究論文
査読 査読あり
標題 Introduction to the Variance-Stabilizing Bandwidth for the Nadaraya Watson Estimator.
執筆形態 共著
掲載誌名 Bulletin of Informatics and Cybernetics
掲載区分国内
出版社・発行元 Research Association of Statistical Sciences
巻・号・頁 43,pp.53-66
著者・共著者 ◎Kiheiji NISHIDA
概要 In linear regression under heteroscedastic variances, Aitken estimator is employed to account for the differences in variances. Employing the same principle, we propose the Nadaraya-Watson regression estimator with variable variance-stabilizing bandwidth (VS bandwidth) that minimizes asymptotic MISE (AMISE) while maintaining asymptotic homoscedasticity. We examine its local and global properties relative to the MISE minimizing fixed bandwidth. The proposed VS bandwidth produces the asymptotic variance smaller on some part of the support than the fixed bandwidth and may in some cases achieve smaller AMISE than its fixed counterpart. In numerical examples, we find that the proposed VS bandwidth is more serviceable when the distribution of X's are flatter.