Bandwidth selection for local linear regression

DOI10.1007/S001800050029MaRDI QIDQ1979106zbMATH OpenOpenAlexFDO

Authors Thomas C. M. Lee, V. Solo

Publication date 24 May 2000

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001800050029

zbMATH Keywords

bandwidth selectionlocal linear regressionmean squared error minimization

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02)

Review text

A new method (PURE) of bandwidth selection for nonparametric regression estimation is proposed. In PURE the bandwidth is selected as the minimizer of an estimator for mean integrated squared error (MISE). To estimate MISE the authors plug a pilot regression estimator into the bias term of the bias-variance decomposition of MISE. A minimizer of the least squares cross-validation (LSCV) score is used as a pilot estimator. The performance of PURE is compared with LSCV, direct and interactive asymptotic plug-in and global refined bandwidth selection procedures via simulation studies. The authors conclusion is that PURE selectors ``even though not always the best, compare favorably with other selectors in virtually all cases.

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Cited in

(12)

• Neural networks for bandwidth selection in local linear regression of time series
• Variable bandwidth and local linear regression smoothers
• A plug-in bandwidth selector for nonparametric quantile regression
• Bernstein estimation for a copula derivative with application to conditional distribution and regression functionals
• Smoothing parameter selection for nonparametric regression using smoothing spline
• scientific article; zbMATH DE number 638110 (Why is no real title available?)
• Local linear extrapolation
• Bandwidth Selection for Local Linear Regression Smoothers
• Local Linear Regression and the problem of dimensionality: a remedial strategy via a new locally adaptive bandwidths selector
• A bias-corrected partial Bernstein copula approach for nonparametric regression
• Application of empirical mode decomposition with local linear quantile regression in financial time series forecasting
• Estimation in hazard regression models under ordered departures from proportionality

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