Some estimators of covariance matrix in multivariate nonparametric regression and their applications

DOI10.32917/HMJ/1206454441MaRDI QIDQ750046zbMATH OpenOpenAlexWikidataFDO

Authors Megu Ohtaki

Publication date 1990

Published in Hiroshima Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.32917/hmj/1206454441

zbMATH Keywords

clusteringcovariance matrixerror vectorlocally weighted estimatorsmultivariate nonparametric regression

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

Review text

The paper deals with multivariate nonparametric regression in the case that no or very few replicated observations are available. The regression function is assumed to be sufficiently smooth and a certain clustering idea is exploited to find cases that are almost replicates and can be used for constructing some locally weighted estimators for the covariance matrix of the model's error vector. Finite and asymptotic properties of the estimators are studied.

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