Local adaptive smoothing in kernel regression estimation

Qi Zheng, K.B. Kulasekera and Colin Gallagher

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 540-547

Abstract: We consider nonparametric estimation of a smooth function of one variable. Global selection procedures cannot sufficiently account for local sparseness of the covariate nor can they adapt to local curvature of the regression function. We propose a new method for selecting local smoothing parameters which takes into account sparseness and adapts to local curvature. A Bayesian type argument provides an initial smoothing parameter which adapts to the local sparseness of the covariate and provides the basis for local bandwidth selection procedures which further adjust the bandwidth according to the local curvature of the regression function. Simulation evidence indicates that the proposed method can result in reduction of both pointwise mean squared error and integrated mean squared error.

Date: 2010
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