A Simple Estimator of Error Correlation in Non-parametric Regression Models |
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Authors: | BYEONG U. PARK YOUNG KYUNG LEE TAE YOON KIM CHEOLYONG PARK |
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Affiliation: | Department of Statistics, Seoul National University; Department of Statistics, Keimyung University |
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Abstract: | Abstract. It is well known that major strength of non-parametric regression function estimation breaks down when correlated errors exist in the data. Positively (negatively) correlated errors tend to produce undersmoothing (oversmoothing). Several remedies have been proposed in the context of bandwidth selection problem, but they are hard to implement without prior knowledge of error correlations. In this paper we propose a simple estimator of error correlation which is ready to implement and reports a reasonably good performance. |
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Keywords: | bandwidth selection bimodal kernel correlated errors kernel regression residuals |
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