Skewing methods for variance-stabilizing local linear regression estimation

DOI10.1080/03610918.2019.1595648MaRDI QIDQ5082680zbMATH OpenOpenAlexFDO

Authors Kiheiji Nishida

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.04356

zbMATH Keywords

bandwidth selectionlocal variable bandwidthvariance-stabilizationlocal linear regression estimatorskewing methods

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Abstract: It is well-known that kernel regression estimators do not produce a constant estimator variance over a domain. To correct this problem, Nishida and Kanazawa (2015) proposed a variance-stabilizing (VS) local variable bandwidth for Local Linear (LL) regression estimator. In contrast, Choi and Hall (1998) proposed the skewing (SK) methods for a univariate LL estimator and constructed a convex combination of one LL estimator and two SK estimators that are symmetrically placed on both sides of the LL estimator (the convex combination (CC) estimator) to eliminate higher-order terms in its asymptotic bias. To obtain a CC estimator with a constant estimator variance without employing the VS local variable bandwidth, the weight in the convex combination must be determined locally to produce a constant estimator variance. In this study, we compare the performances of two VS methods for a CC estimator and find cases in which the weighting method can superior to the VS bandwidth method in terms of the degree of variance stabilization.

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Cited in

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• Bayesian variance-stabilizing kernel density estimation using conjugate prior

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Uses Software

• KernSmooth

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