Robust plug-in bandwidth estimators in nonparametric regression |
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Affiliation: | 1. College of Mechanical and Electrical Engineering, China University of Mining and Technology, Xuzhou, 221116, China;2. Jiangsu Key Laboratory of Mine Mechanical and Electrical Equipment, China University of Mining and Technology, Xuzhou, 221116, China |
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Abstract: | In this paper, we propose a robust bandwidth selection method for local M-estimates used in nonparametric regression. We study the asymptotic behavior of the resulting estimates. We use the results of a Monte Carlo study to compare the performance of various competitors for moderate samples sizes. It appears that the robust plug-in bandwidth selector we propose compares favorably to its competitors, despite the need to select a pilot bandwidth. The Monte Carlo study shows that the robust plug-in bandwidth selector is very stable and relatively insensitive to the choice of the pilot. |
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