Are regression series estimators efficient in practice? A computational comparison study

DOI10.1007/S001800000045MaRDI QIDQ1424608zbMATH OpenOpenAlexFDO

Authors Michel Delecroix, Camelia Protopopesku

Publication date 16 March 2004

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001800000045, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=257316

zbMATH Keywords

cubic splineskernel smoothingorthonormal series estimatorswavelets

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02) Numerical interpolation (65D05)

Review text

Consider the classical problem of estimating an unknown regression function \(g(x)=E(Y_i\mid X_i=x)\) from a sample of independent, identically distributed \(R^2\) random variables \((Y_i,X_i)\) without any parametric restriction on the \((Y_i,X_i)\) distribution. The authors focuse on the practical efficiency of series-type (ST) regression estimators of \(g\) and carried out a simulation study to compare four ST estimators based on different choices of orthonormal bases (namely Legendre polynomials, trigonometric functions, two kinds of Daubechies wavelets) with other two of the most popular nonparametric regression methods: kernel Nadaraya-Watson estimators and spline smoothing. These methods were compared on various samples, choosing empirically parameters for each of the methods, in order to obtain the best performance they can practically provide. It was shown that orthonormal series estimators are competitive in relation to the above mentioned nonparametric procedures. However, no agreement has emerged on the best method, the results being highly dependent on the nature of estimated data.

Recommendations

• On efficient estimation in regression models
• scientific article; zbMATH DE number 46829
• Regression series estimators: the mise approach
• Comparison of the efficiency for mean estimators in time series

Cites work

• Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models
• Comparing Automatic Smoothers (A Public Service Enterprise)
• Convergence rates and asymptotic normality for series estimators
• Convergence rates for trigonometric and polynomial-trigonometric regression estimators
• scientific article; zbMATH DE number 3137533 (Why is no real title available?)
• scientific article; zbMATH DE number 46694 (Why is no real title available?)
• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• scientific article; zbMATH DE number 739533 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• scientific article; zbMATH DE number 927333 (Why is no real title available?)
• scientific article; zbMATH DE number 3037624 (Why is no real title available?)
• Ondelettes sur l'intervalle. (Wavelets on the interval)
• Orthonormal bases of compactly supported wavelets
• Regression series estimators: the mise approach
• Smoothing by weighted averaging of rounded points
• Ten Lectures on Wavelets
• Wavelet Methods for Curve Estimation
• Wavelet regression for random or irregular design.
• Wavelets on the interval and fast wavelet transforms
• Wavelets, approximation, and statistical applications

Cited in

(2)

• Testing for additivity in partially linear regression with possibly missing responses
• Estimating the error distribution function in semiparametric additive regression models

This page was built for publication: Are regression series estimators efficient in practice? A computational comparison study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1424608)