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1998-03-09Buch DOI: 10.18452/3855
Multivariate Plug-in Bandwidth for Local Linear Regression
dc.contributor.authorYang, Lijian
dc.contributor.authorTschernig, Rolf
dc.date.accessioned2017-06-15T22:21:34Z
dc.date.available2017-06-15T22:21:34Z
dc.date.created2006-06-09
dc.date.issued1998-03-09none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4507
dc.description.abstractOptimal bandwidths for local polynomial regression usually involve functionals of the derivatives of the unknown regression function. In the multivariate case, estimates of these functionals are not readily available, primarily because estimating multivariate derivatives is complicated. In this paper, an estimator of multivariate second derivative is obtained via local quadratic regression with cross terms left out. This estimator has the optimal rate of convergence but is simpler and uses a lot less computing time than the full local quadratic estimator. Using this as a pilot estimator, an estimator of the integrated squared Laplacian of a multivariate regression function is obtained which leads to a plug-in formula of the optimal bandwidth for multivariate local linear regression. This bandwidth has good theoretical properties as well as satisfactory performance in our simulation study. It is also recommended for variable selection methods.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.relation.ispartofseriesSonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 99, SFB 373 Papers, ISSN:1436-1086
dc.subjectBandwidth selectioneng
dc.subjectAsymptotic optimalityeng
dc.subjectFunctional estimationeng
dc.subjectLaplacianeng
dc.subjectLocal quadratic regressioneng
dc.subjectSecond derivativeseng
dc.subjectWithin bias trade offeng
dc.subject.ddc330 Wirtschaft
dc.titleMultivariate Plug-in Bandwidth for Local Linear Regression
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10064769
dc.identifier.doihttp://dx.doi.org/10.18452/3855
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.container-titleSFB 373 Papers
local.edoc.container-issn1436-1086
local.edoc.pages20
local.z-edoc.journal-periodikumAusgabe99,
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1997
local.edoc.container-issue99
local.edoc.container-year1998

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