Kernel adjusted nonparametric regression |
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Authors: | Gerrit Eichner Winfried Stute |
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Institution: | Mathematical Institute, Justus-Liebig-University, Arndtstr. 2, 35392 Giessen, Germany |
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Abstract: | In this paper we propose and study a new kernel regression estimator in which the kernel is taken from a properly adapted location-scale family of the design distribution. We show that, while the original smoothing may be performed with sub-optimal bandwidths, adaptation of proper scale parameters yields overall optimal estimators. Unlike traditional smoothing methodology, our approach does not aim at estimating pivotal higher order derivatives. |
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Keywords: | Kernel regression estimator Adaptive choice |
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