Weighted Kernel regression

In the fixed design regression model, additional weights are considered for the Nadaraya--Watson and Gasser--M\"uller kernel estimators. We study their asymptotic behavior and the relationships between new and classical estimators. For a simple family of weights, and considering the IMSE as global loss criterion, we show some possible theoretical advantages. An empirical study illustrates the performance of the weighted estimators in finite samples.

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Year of publication:	1996-03
Authors:	Delicado, Pedro ; Rio, Manuel del
Institutions:	Department of Economics and Business, Universitat Pompeu Fabra
Subject:	Asymptotic behavior \| fixed design \| nonparametric regression \| smoothing

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Extent:	application/pdf
Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005772276