Symmetrized nearest neighbor regression estimates

R. J. Carroll and Wolfgang Härdle

Statistics & Probability Letters, 1989, vol. 7, issue 4, 315-318

Abstract: We consider univariate nonparametric regression. Two standard nonparametric regression function estimates are kernel estimates and nearest neighbor estimates. Mack (1981) noted that both methods can be defined with respect to a kernel or weighting function, and that for a given kernel and a suitable choice of bandwidth, the optimal mean squared error is the same asymptotically for kernel and nearest neighbor estimates. Yang (1981) defined a new type of nearest neighbor regression estimate using the empirical distribution function of the predictors to define the window over which to average. This has the effect of forcing the number of neighbors to be the same both above and below the value of the predictor of interest; we call these symmetrized nearest neighbor estimates. The estimate is a kernel regression estimate with "predictors" given by the empirical distribution function of the true predictors. We show that for estimating the regression function at a point, the optimum mean squared error of this estimate differs from that of the optimum mean squared error for kernel and ordinary nearest neighbor estimates. No estimate dominates the others. They are asymptotically equivalent with respect to mean squared error if one is estimating the regression function at a mode of the predictor.

Keywords: nonparametric; regression; kernel; regression; nearest; neighbor; regression; bias; mean; squared; error (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (4)

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