Applied Nonparametric Regression.pdf

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1、AppliedNonparametricRegressionWolfgangH•ardleHumboldt-Universit•atzuBerlinWirtschaftswissenschaftlicheFakult•atInstitutf•urStatistikundOkonometrie•SpandauerStr.1D{10178Berlin1994F•urRenateNoraViolaAdrianContentsIRegressionsmoothing11Introduction31.1Motivation..........

2、...........................71.2Scopeofthisbook................................142Basicideaofsmoothing172.1Thestochasticnatureoftheobservations....................262.2Hurdlesforthesmoothingprocess........................273Smoothingtechniques313.1KernelSmoothing.......

3、..........................323.2Complements...................................493.3ProofofProposition...............................493.4k-nearestneighborestimates...........................523.5Orthogonalseriesestimators...........................613.6Splinesmoothing..

4、...............................703.7Complements...................................773.8Anoverviewofvarioussmoothers........................783.9Recursivetechniques...............................783.10Theregressogram.................................803.11Acomparisonofke

5、rnel,k-NNandsplinesmoothers..............87IIThekernelmethod1114Howcloseisthesmoothtothetruecurve?1134.1Thespeedatwhichthesmoothcurveconverges................1164.2Pointwisecondenceintervals..........................1254.3Variabilitybandsforfunctions..................

6、........1394.4Behaviorattheboundary............................1594.5Theaccuracyasafunctionofthekernel....................1624.6Biasreductiontechniques............................1725Choosingthesmoothingparameter1795.1Cross-validation,penalizingfunctionsandtheplug-inme

7、thod.........1805.2Whichselectorshouldbeused?.........................2005.3Localadaptationofthesmoothingparameter.................2145.4Comparingbandwidthsbetweenlaboratories(canonicalkernels).......2236Datasetswithoutliers2296.1Resistantsmoothingtechniques...........

8、..............2316.2Complements...................................2417Nonparametricregressiontechniquesfortimeseries2