Convolution type estimators for nonparametric regression (Q1113583)

Convolution type kernel estimators such as the Priestley-Chao estimator have been discussed by several authors in the fixed design regression model \(Y_ i=g(t_ i)+\epsilon_ i\), where \(\epsilon_ i\) are uncorrelated random errors, \(t_ i\) are fixed design points where measurements are made, and g is the function to be estimated from the noisy measurements \(Y_ i\). Using properties of order statistics and concomitants, we derive the asymptotic mean squared error of these estimators in the random design case where given i.i.d. bivariate observations \((X_ i,Y_ i)\), \(i=1,...,n\), the aim is to estimate the regression function \(m(x)=E(Y| X=x)\). The comparison with the well- known quotient type Nadaraya-Watson kernel estimators shows that convolution type estimators have a bias behavior which corresponds to that in the fixed design case. This makes possible the straightforward extension to the estimation of derivatives.