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

DOI10.1080/02331888.2014.884097MaRDI QIDQ5264002zbMATH OpenOpenAlexFDO

Authors Bernard Bercu, Thi Mong Ngoc Nguyen, Jérôme Saracco

Publication date 20 July 2015

Published in Statistics (Search for Journal in Brave)

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)

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.

Recommendations

• Recursive estimation for sliced inverse regression
• Recursive estimation of regression functions by local polynomial fitting
• A Robbins-Monro procedure for estimation in semiparametric regression models
• A note on unconditional properties of a parametrically guided Nadaraya-Watson estimator
• Consistencia de un estimador no parametrico, recursivo, de la regresion bajo condiciones generales

Cites work

• A new approach on recursive and non-recursive SIR methods
• Class prediction and gene selection for DNA microarrays using regularized sliced inverse regression
• Data sharpening methods for bias reduction in nonparametric regression.
• Dimension reduction for conditional mean in regression
• Estimation of a regression function by the parzen kernel-type density estimators
• Influence Functions for Sliced Inverse Regression
• Joint Asymptotic Distribution of the Estimated Regression Function at a Finite Number of Distinct Points
• On almost linearity of low dimensional projections from high dimensional data
• On spline approximation of sliced inverse regression
• Optimal quantization applied to sliced inverse regression
• Sliced Inverse Regression with Regularizations
• Slicing regression: A link-free regression method
• Sufficient Dimension Reduction via Inverse Regression
• The sliced inverse regression algorithm as a maximum likelihood procedure

Cited in

(5)

• The stochastic approximation method for semi-recursive multivariate kernel-type regression estimation
• Weighted estimation of conditional mean function with truncated, censored and dependent data
• Online sufficient dimension reduction through sliced inverse regression
• Recursive estimation for sliced inverse regression
• On nonparametric estimation of a nonparametric autoregressive conditionally heteroscedastic process

This page was built for publication: On the asymptotic behaviour of the recursive Nadaraya-Watson estimator associated with the recursive sliced inverse regression method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5264002)