Nonparametric estimation when data on derivatives are available

DOI10.1214/009053606000001127zbMATH Open1114.62049arXiv0708.0506OpenAlexW3098846354MaRDI QIDQ997381FDOQ997381

Adonis Yatchew, Peter Hall

Publication date: 23 July 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We consider settings where data are available on a nonparametric function and various partial derivatives. Such circumstances arise in practice, for example in the joint estimation of cost and input functions in economics. We show that when derivative data are available, local averages can be replaced in certain dimensions by nonlocal averages, thus reducing the nonparametric dimension of the problem. We derive optimal rates of convergence and conditions under which dimension reduction is achieved. Kernel estimators and their properties are analyzed, although other estimators, such as local polynomial, spline and nonparametric least squares, may also be used. Simulations and an application to the estimation of electricity distribution costs are included.

Full work available at URL: https://arxiv.org/abs/0708.0506

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zbMATH Keywords

dimension reductionkernel methodsrates of convergencestatistical smoothingpartial derivative datacost function estimation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Production theory, theory of the firm (91B38)

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Cited In (3)

• Nonparametric least squares estimation in derivative families
• Posterior contraction rates of density derivative estimation
• Average derivation estimation with multiplicative distortion measurement errors

Uses Software

• KernSmooth

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