Bandwidth choice for robust nonparametric scale function estimation

We introduce and compare several robust procedures for bandwidth selection when estimating the variance function. These bandwidth selectors are to be used in combination with the robust scale estimates introduced by Boente et al. (2010a). We consider two different robust cross-validation strategies...

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Detalles Bibliográficos
Autor principal: Boente, Graciela Lina
Publicado: 2012
Materias:
Cross-validation
Data-driven bandwidth
Heteroscedasticity
Local M-estimators
Nonparametric regression
Robust estimation
Cross validation
Data-driven
Non-parametric regression
Asymptotic analysis
Bandwidth
Monte Carlo methods
Estimation
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01679473_v56_n6_p1594_Boente
http://hdl.handle.net/20.500.12110/paper_01679473_v56_n6_p1594_Boente
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id paper:paper_01679473_v56_n6_p1594_Boente
record_format dspace
spelling paper:paper_01679473_v56_n6_p1594_Boente2023-06-08T15:17:10Z Bandwidth choice for robust nonparametric scale function estimation Boente, Graciela Lina Cross-validation Data-driven bandwidth Heteroscedasticity Local M-estimators Nonparametric regression Robust estimation Cross validation Data-driven Heteroscedasticity Local M-estimators Non-parametric regression Robust estimation Asymptotic analysis Bandwidth Monte Carlo methods Estimation We introduce and compare several robust procedures for bandwidth selection when estimating the variance function. These bandwidth selectors are to be used in combination with the robust scale estimates introduced by Boente et al. (2010a). We consider two different robust cross-validation strategies combined with two ways for measuring the cross-validation prediction error. The different proposals are compared with non robust alternatives using Monte Carlo simulation. We also derive some asymptotic results to investigate the large sample performance of the corresponding robust data-driven scale estimators. © 2011 Elsevier B.V. All rights reserved. Fil:Boente, G. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. 2012 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01679473_v56_n6_p1594_Boente http://hdl.handle.net/20.500.12110/paper_01679473_v56_n6_p1594_Boente
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Cross-validation
Data-driven bandwidth
Heteroscedasticity
Local M-estimators
Nonparametric regression
Robust estimation
Cross validation
Data-driven
Heteroscedasticity
Local M-estimators
Non-parametric regression
Robust estimation
Asymptotic analysis
Bandwidth
Monte Carlo methods
Estimation
spellingShingle Cross-validation
Data-driven bandwidth
Heteroscedasticity
Local M-estimators
Nonparametric regression
Robust estimation
Cross validation
Data-driven
Heteroscedasticity
Local M-estimators
Non-parametric regression
Robust estimation
Asymptotic analysis
Bandwidth
Monte Carlo methods
Estimation
Boente, Graciela Lina
Bandwidth choice for robust nonparametric scale function estimation
topic_facet Cross-validation
Data-driven bandwidth
Heteroscedasticity
Local M-estimators
Nonparametric regression
Robust estimation
Cross validation
Data-driven
Heteroscedasticity
Local M-estimators
Non-parametric regression
Robust estimation
Asymptotic analysis
Bandwidth
Monte Carlo methods
Estimation
description We introduce and compare several robust procedures for bandwidth selection when estimating the variance function. These bandwidth selectors are to be used in combination with the robust scale estimates introduced by Boente et al. (2010a). We consider two different robust cross-validation strategies combined with two ways for measuring the cross-validation prediction error. The different proposals are compared with non robust alternatives using Monte Carlo simulation. We also derive some asymptotic results to investigate the large sample performance of the corresponding robust data-driven scale estimators. © 2011 Elsevier B.V. All rights reserved.
author Boente, Graciela Lina
author_facet Boente, Graciela Lina
author_sort Boente, Graciela Lina
title Bandwidth choice for robust nonparametric scale function estimation
title_short Bandwidth choice for robust nonparametric scale function estimation
title_full Bandwidth choice for robust nonparametric scale function estimation
title_fullStr Bandwidth choice for robust nonparametric scale function estimation
title_full_unstemmed Bandwidth choice for robust nonparametric scale function estimation
title_sort bandwidth choice for robust nonparametric scale function estimation
publishDate 2012
url https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01679473_v56_n6_p1594_Boente
http://hdl.handle.net/20.500.12110/paper_01679473_v56_n6_p1594_Boente
work_keys_str_mv AT boentegracielalina bandwidthchoiceforrobustnonparametricscalefunctionestimation
_version_ 1768542548533444608

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