Error Process Indexed by Bandwidth Matrices in Multivariate Local Linear Smoothing

J. A. Cristóbal and J. T. Alcalá

Journal of Multivariate Analysis, 1998, vol. 66, issue 2, 207-236

Abstract: We focus on nonparametric multivariate regression function estimation by locally weighted least squares. The asymptotic behavior for a sequence of error processes indexed by bandwidth matrices is derived. We discuss feasible data-driven consistent estimators minimizing asymptotic mean squared error or efficient estimators reducing asymptotic bias at points where opposite sign curvatures of the regression function are present in different directions.

Keywords: bandwidth; matrix; error; process; local; linear; smoother; multiparameter; stochastic; process; nonparametric; regression; tightness; weak; convergence (search for similar items in EconPapers)
Date: 1998
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