A multiplicative bias reduction method for nonparametric regression

Oliver Linton and Jens Perch Nielsen

Statistics & Probability Letters, 1994, vol. 19, issue 3, 181-187

Abstract: We introduce a multiplicative bias reducing estimator (MBRE) for nonparametric regression. We show that our estimator has optimal pointwise convergence rate n4/9, when positive kernels are used. A simulation study comparing our procedure with the higher order kernel method is included.

Keywords: Nonparametric; regression; bias; reduction; pre-whitening (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (12)

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