Robust regression function estimation

Wolfgang Härdle

Journal of Multivariate Analysis, 1984, vol. 14, issue 2, 169-180

Abstract: A robust estimator of the regression function is proposed combining kernel methods as introduced for density estimation and robust location estimation techniques. Weak and strong consistency and asymptotic normality are shown under mild conditions on the kernel sequence. The asymptotic variance is a product from a factor depending only on the kernel and a factor similar to the asymptotic variance in robust estimation of location. The estimation is minimax robust in the sense of [7]. Robust estimation of a location parameter. Ann. Math. Statist.33 73-101.

Keywords: Nonparametric; regression; kernel; estimation; robust; smoothing (search for similar items in EconPapers)
Date: 1984
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Citations: View citations in EconPapers (11)

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