KMS Of Academy of mathematics and systems sciences, CAS
| Kernel Averaging Estimators | |
| Zhu, Rong1; Zhang, Xinyu2,3; Wan, Alan T. K.4,5; Zou, Guohua6 | |
| 2021-12-28 | |
| Source Publication | JOURNAL OF BUSINESS & ECONOMIC STATISTICS
 |
| ISSN | 0735-0015 |
| Pages | 13 |
| Abstract | The issue of bandwidth selection is a fundamental model selection problem stemming from the uncertainty about the smoothness of the regression. In this article, we advocate a model averaging approach to circumvent the problem caused by this uncertainty. Our new approach involves averaging across a series of Nadaraya-Watson kernel estimators each under a different bandwidth, with weights for these different estimators chosen such that a least-squares cross-validation criterion is minimized. We prove that the resultant combined-kernel estimator achieves the smallest possible asymptotic aggregate squared error. The superiority of the new estimator over estimators based on widely accepted conventional bandwidth choices in finite samples is demonstrated in a simulation study and a real data example. |
| Keyword | Asymptotic optimality Cross-validation Kernel estimation Model average Nonparametric regression |
| DOI | 10.1080/07350015.2021.2006668 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Key R&D Program of China[2020AAA0105200] ; Academy for Multidisciplinary Studies, Capital Normal University ; Hong Kong Research Grants Council[9042873] ; Ministry of Science and Technology of China[2016YFB0502301] ; National Natural Science Foundation of China (NNSFC)[72073126] ; National Natural Science Foundation of China (NNSFC)[71925007] ; National Natural Science Foundation of China (NNSFC)[72091212] ; National Natural Science Foundation of China (NNSFC)[71988101] ; National Natural Science Foundation of China (NNSFC)[11688101] ; National Natural Science Foundation of China (NNSFC)[71973116] ; National Natural Science Foundation of China (NNSFC)[11971323] ; National Natural Science Foundation of China (NNSFC)[12031016] |
| WOS Research Area | Business & Economics ; Mathematical Methods In Social Sciences ; Mathematics |
| WOS Subject | Economics ; Social Sciences, Mathematical Methods ; Statistics & Probability |
| WOS ID | WOS:000736034000001 |
| Publisher | TAYLOR & FRANCIS INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/59818 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Zhang, Xinyu |
| Affiliation | 1.Univ Cambridge, Sch Clin Med, MRC Biostat Unit, Cambridge, England 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Beijing Acad Artificial Intelligence, Beijing, Peoples R China 4.City Univ Hong Kong, Dept Management Sci, Hong Kong, Peoples R China 5.City Univ Hong Kong, Sch Data Sci, Hong Kong, Peoples R China 6.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China |
| Recommended Citation GB/T 7714 | Zhu, Rong,Zhang, Xinyu,Wan, Alan T. K.,et al. Kernel Averaging Estimators[J]. JOURNAL OF BUSINESS & ECONOMIC STATISTICS,2021:13. |
| APA | Zhu, Rong,Zhang, Xinyu,Wan, Alan T. K.,&Zou, Guohua.(2021).Kernel Averaging Estimators.JOURNAL OF BUSINESS & ECONOMIC STATISTICS,13. |
| MLA | Zhu, Rong,et al."Kernel Averaging Estimators".JOURNAL OF BUSINESS & ECONOMIC STATISTICS (2021):13. |
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