Asymptotic maximal deviation of M-smoothers

Let (X1, Y1),..., (Xn, Yn) be i.i.d. rv's and let m(x) = E(YX = x) be the regression curve of Y on X. A M-smoother mn(x) is a robust, nonlinear estimator of m(x), defined in analogy to robust M-estimators of location. In this paper the asymptotic maximal deviation sup0 <= t <= 1 mn(t) - m(t) is considered. The derived result allows the construction of a uniform confidence band for m(x).

MoreLess

Year of publication:	1989
Authors:	Härdle, Wolfgang
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 29.1989, 2, p. 163-179
Publisher:	Elsevier
Keywords:	Nonparametric regression M-smoothing uniform confidence bands

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152973