Local linear kernel estimation for discontinuous nonparametric regression functions |
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| Authors: | Jiti Gao Anthony N Pettitt Rodney C L Wolff |
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| Institution: | 1. School of Mathematical Sciences , Queensland University of Technology , Brisbane, Qld 4001, Australia j.gao@qut.edu.au.;3. School of Mathematical Sciences , Queensland University of Technology , Brisbane, Qld 4001, Australia |
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| Abstract: | In this paper, we consider using a local linear (LL) smoothing method to estimate a class of discontinuous regression functions. We establish the asymptotic normality of the integrated square error (ISE) of a LL-type estimator and show that the ISE has an asymptotic rate of convergence as good as for smooth functions, and the asymptotic rate of convergence of the ISE of the LL estimator is better than that of the Nadaraya-Watson (NW) and the Gasser-Miiller (GM) estimators. |
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| Keywords: | Nonparametric regression kernel estimation local linear smoothing discontinuous regression function integrated square error |
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