Smoothing for small samples with model misspecification: Nonparametric and semiparametric concerns
Our goal is to find a regression technique that can be used in a small-sample situation with possible model misspecification. The development of a new bandwidth selector allows nonparametric regression (in conjunction with least squares) to be used in this small-sample problem, where nonparametric procedures have previously proven to be inadequate. Considered here are two new semiparametric (model-robust) regression techniques that combine parametric and nonparametric techniques when there is partial information present about the underlying model. A general overview is given of how typical concerns for bandwidth selection in nonparametric regression extend to the model-robust procedures. A new penalized PRESS criterion (with a graphical selection strategy for applications) is developed that overcomes these concerns and is able to maintain the beneficial mean squared error properties of the new model-robust methods. It is shown that this new selector outperforms standard and recently improved bandwidth selectors. Comparisons of the selectors are made via numerous generated data examples and a small simulation study.
Year of publication: |
2002
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Authors: | Mays, James ; Birch, Jeffrey |
Published in: |
Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 29.2002, 7, p. 1023-1045
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Publisher: |
Taylor & Francis Journals |
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