Arbeitspapier
Smoothed L-estimation of regression function
The Nadaraya-Watson estimator of regression is known to be highly sensitive to the presence of outliers in the sample. A possible way of robustication consists in using local L-estimates of regression. Whereas the local L-estimation is traditionally done using an empirical conditional distribution function, we propose to use instead a smoothed conditional distribution function. We show that this smoothed L-estimation approach provides computational as well as statistical finite sample improvements. The asymptotic distribution of the estimator is derived under mild Ø-mixing conditions.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 373 Discussion Paper ; No. 2002,88
- Classification
-
Wirtschaft
- Subject
-
nonparametric regression
L-estimation
smoothed cumulative distribution function
- Event
-
Geistige Schöpfung
- (who)
-
Tamine, Julien
Čížek, Pavel
Härdle, Wolfgang
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
-
Berlin
- (when)
-
2002
- Handle
- URN
-
urn:nbn:de:kobv:11-10049692
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Tamine, Julien
- Čížek, Pavel
- Härdle, Wolfgang
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 2002
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