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Weighted Kernel regression;
Weighted nonparametric regression
Delicado, Pedro; del Rio, Manuel
Universitat Pompeu Fabra. Departament d'Economia i Empresa
In the fixed design regression model, additional weights areconsidered for the Nadaraya--Watson and Gasser--M\"uller kernel estimators.We study their asymptotic behavior and the relationships between new andclassical estimators. For a simple family of weights, and considering theIMSE as global loss criterion, we show some possible theoretical advantages.An empirical study illustrates the performance of the weighted estimatorsin finite samples.
2005-09-15
Statistics, Econometrics and Quantitative Methods
asymptotic behavior
fixed design
nonparametric regression
smoothing
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Working Paper
         

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