Local Linear M‐estimation in non‐parametric spatial regression

Zhengyan Lin, Degui Li and Jiti Gao

Journal of Time Series Analysis, 2009, vol. 30, issue 3, 286-314

Abstract: Abstract. A robust version of local linear regression smoothers augmented with variable bandwidths is investigated for dependent spatial processes. The (uniform) weak consistency as well as asymptotic normality for the local linear M‐estimator (LLME) of the spatial regression function g(x) are established under some mild conditions. Furthermore, an additive model is considered to avoid the curse of dimensionality for spatial processes and an estimation procedure based on combining the marginal integration technique with LLME is applied in this paper. Meanwhile, we present a simulated study to illustrate the proposed estimation method. Our simulation results show that the estimation method works well numerically.

Date: 2009
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https://doi.org/10.1111/j.1467-9892.2009.00612.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:30:y:2009:i:3:p:286-314

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