ESTIMATING ERROR CORRELATION IN NONPARAMETRIC REGRESSION

被引：9

作者：

ALTMAN, NS ^{[1
]}

机构：

[1] CORNELL UNIV,BIOMETR UNIT,ITHACA,NY 14853

来源：

STATISTICS & PROBABILITY LETTERS | 1993年 / 18卷 / 03期

基金：

加拿大自然科学与工程研究理事会;

关键词：

KERNEL SMOOTHING; CORRELATED ERRORS; METHOD OF MOMENTS; TIME SERIES; AUTOCORRELATION;

D O I：

10.1016/0167-7152(93)90219-9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Estimates of error correlations in kernel nonparametric regression are obtained using the method of moments. A high order asymptotic expansion of the estimators shows that they are consistent and asymptotically normal at parametric rates, and provides heuristics for the choice of bandwidth and kernel.

引用

页码：213 / 218

页数：6

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