On the asymptotic behaviour of the recursive Nadaraya–Watson estimator associated with the recursive sliced inverse regression method

DOI10.1080/02331888.2014.884097zbMATH Open1367.62111arXiv1202.5432OpenAlexW2053676405MaRDI QIDQ5264002FDOQ5264002

Bernard Bercu, Thi Mong Ngoc Nguyen, Jérôme Saracco

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Abstract: We investigate the asymptotic behavior of the Nadaraya-Watson estimator for the estimation of the regression function in a semiparametric regression model. On the one hand, we make use of the recursive version of the sliced inverse regression method for the estimation of the unknown parameter of the model. On the other hand, we implement a recursive Nadaraya-Watson procedure for the estimation of the regression function which takes into account the previous estimation of the parameter of the semiparametric regression model. We establish the almost sure convergence as well as the asymptotic normality for our Nadaraya-Watson estimator. We also illustrate our semiparametric estimation procedure on simulated data.

Full work available at URL: https://arxiv.org/abs/1202.5432

zbMATH Keywords

recursive estimationNadaraya-Watson estimatorsemiparametric regressionsliced inversion regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

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Cited In (3)

• On nonparametric estimation of a nonparametric autoregressive conditionally heteroscedastic process
• Weighted estimation of conditional mean function with truncated, censored and dependent data
• Title not available (Why is that?)

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