Gradient-based smoothing parameter selection for nonparametric regression estimation

DOI10.1016/j.jeconom.2014.09.007zbMath1331.62230OpenAlexW2154377421MaRDI QIDQ2343743

Christopher F. Parmeter, Daniel J. Henderson, Shuang Yao, Q. Li

Publication date: 6 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.09.007

zbMATH Keywords

kernel smoothinggradient estimationleast squares cross validation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08)

Related Items (14)

A critical review of univariate non-parametric estimation of first derivatives ⋮ Gradient-based bandwidth selection for estimating average derivatives ⋮ Nonparametric estimation of the determinants of inefficiency in the presence of firm heterogeneity ⋮ Tuning parameter selection for nonparametric derivative estimation in random design ⋮ Nonparametric estimation of stochastic frontier models with weak separability ⋮ A time-varying diffusion index forecasting model ⋮ Nonparametric instrumental variable derivative estimation ⋮ Computation and application of robust data-driven bandwidth selection for gradient function estimation ⋮ Optimal smoothing in nonparametric conditional quantile derivative function estimation ⋮ Asymptotics for function derivatives estimators based on stationary and ergodic discrete time processes ⋮ Gradient estimation of the local-constant semiparametric smooth coefficient model ⋮ Local weighted composite quantile estimation and smoothing parameter selection for nonparametric derivative function ⋮ Nonparametric multidimensional fixed effects panel data models ⋮ Space partitioning and regression maxima seeking via a mean-shift-inspired algorithm

Cites Work

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• When is the optimal regularization parameter insensitive to the choice of the loss function?
• Bandwidth choice and confidence intervals for derivatives of noisy data
• Empirical-Bias Bandwidths for Local Polynomial Nonparametric Regression and Density Estimation

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