Kernel Averaging Estimators

doi:10.1080/07350015.2021.2006668

CSpace

	Kernel Averaging Estimators
	Zhu, Rong 1; Zhang, Xinyu 2,3; Wan, Alan T. K.4,5; Zou, Guohua 6
	2021-12-28
发表期刊	JOURNAL OF BUSINESS & ECONOMIC STATISTICS
ISSN	0735-0015
页码	13
摘要	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.
关键词	Asymptotic optimality Cross-validation Kernel estimation Model average Nonparametric regression
DOI	10.1080/07350015.2021.2006668
收录类别	SCI
语种	英语
资助项目	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研究方向	Business & Economics ; Mathematical Methods In Social Sciences ; Mathematics
WOS类目	Economics ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000736034000001
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59818
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang, Xinyu
作者单位	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
推荐引用方式 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.