Journal
ELECTRONIC JOURNAL OF STATISTICS
Volume 15, Issue 1, Pages 2566-2607Publisher
INST MATHEMATICAL STATISTICS-IMS
DOI: 10.1214/21-EJS1849
Keywords
Bandwidth selection; nonparametric kernel estimator; quotient estimator; regression model
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In this study, a bandwidth selection method is proposed for estimating the regression function using kernel estimators. The simulation study demonstrated that the single-bandwidth cross-validation estimator performs better in small noise context.
In a regression model, we write the Nadaraya-Watson estimator of the regression function as the quotient of two kernel estimators, and propose a bandwidth selection method for both the numerator and the denominator. We prove risk bounds for both data driven estimators and for the resulting ratio. The simulation study confirms that both estimators have good performances, compared to the ones obtained by cross-validation selection of the bandwidth. However, unexpectedly, the single-bandwidth cross-validation estimator is found to be much better than the ratio of the previous two good estimators, in the small noise context. However, the two methods have similar performances in models with large noise.
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