This paper studies the asymptotic and nite-sample performance ofpenalized regression methods when different selectors of theregularization parameter are used under the assumption that the truemodel is, or is not, included among the candidate model. In the lattersetting, we relax assumptions in...

Nonparametric regression techniques provide an e ective way of identifying and examiningstructure in regression data The standard approaches to nonparametric regression suchas local polynomial and smoothing spline estimators are sensitive to unusual observations and alternatives designed to be...

The least squares linear regression estimator is well-known to be highly sensitive tounusual observations in the data, and as a result many more robust estimators havebeen proposed as alternatives. One of the earliest proposals was least-sum of absolutedeviations (LAD) regression, where the...

In this paper we investigate the effect of presmoothing on model selection. ChristobalChristobal et al. (1987) showed the beneficial effect of presmoothing for estimating the parameters in a linear regression model. Here, in a regression setting, we show that smoothing the response data prior to...

It is not unusual for the response variable in a regression model to be subject to censoring or truncation. Tobit regression models are a specific example of such a situation, where for some observations the observed response is not the actual response, but rather the censoring value...

In this paper we consider the estimation of a density f on the basis of random sample from a weighted distribution G with density g given by g(x) = w(x)f(x)/ Atilde; Acirc;micro;w, where w(u)gt;0 for all u and Atilde; Acirc;micro;w = Atilde;cent;Acirc; Acirc;laquo; w(u)f(u)du lt; Atilde;cent;Acirc; Acirc; . A...

The past forty years have seen a great deal of research into the construction and properties of nonparametricestimates of smooth functions. This research has focused primarily on two sides of the smoothingproblem: nonparametric regression and density estimation. Theoretical results for these two...