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
收藏
页码：213 / 218
页数：6
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