Multiplicative bias corrected nonparametric smoothers

DOI10.1007/978-3-319-96941-1_3MaRDI QIDQ2417434zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 12 June 2019

Full work available at URL https://arxiv.org/abs/0908.0128

zbMATH Keywords

nonparametric regressionnonparametric smoothers

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05)

Abstract: The paper presents a multiplicative bias reduction estimator for nonparametric regression. The approach consists to apply a multiplicative bias correction to an oversmooth pilot estimator. In Burr et al. [2010], this method has been tested to estimate energy spectra. For such data set, it was observed that the method allows to decrease bias with negligible increase in variance. In this paper, we study the asymptotic properties of the resulting estimate and prove that this estimate has zero asymptotic bias and the same asymptotic variance as the local linear estimate. Simulations show that our asymptotic results are available for modest sample sizes.

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Cited in

(3)

• A multiplicative bias reduction method for nonparametric regression
• Recursive bias estimation for multivariate regression smoothers
• Iterative bias reduction: a comparative study

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