Local modal regression

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dc.contributor.author Yao, Weixin
dc.contributor.author Lindsay, Bruce G.
dc.contributor.author Li, Runze
dc.date.accessioned 2012-11-08T20:03:29Z
dc.date.available 2012-11-08T20:03:29Z
dc.date.issued 2012-11-08
dc.identifier.uri http://hdl.handle.net/2097/14923
dc.description.abstract A local modal estimation procedure is proposed for the regression function in a nonparametric regression model. A distinguishing characteristic of the proposed procedure is that it introduces an additional tuning parameter that is automatically selected using the observed data in order to achieve both robustness and efficiency of the resulting estimate. We demonstrate both theoretically and empirically that the resulting estimator is more efficient than the ordinary local polynomial regression estimator in the presence of outliers or heavy tail error distribution (such as t-distribution). Furthermore, we show that the proposed procedure is as asymptotically efficient as the local polynomial regression estimator when there are no outliers and the error distribution is a Gaussian distribution. We propose an EM type algorithm for the proposed estimation procedure. A Monte Carlo simulation study is conducted to examine the finite sample performance of the proposed method. The simulation results confirm the theoretical findings. The proposed methodology is further illustrated via an analysis of a real data example. en_US
dc.relation.uri http://www.tandfonline.com/doi/full/10.1080/10485252.2012.678848 en_US
dc.rights This is an electronic version of an article published in Yao, W., Lindsay, B. G., & Li, R. (2012). Local modal regression. Journal of Nonparametric Statistics, 24(3), 647-663. Journal of Nonparametric Statistics is available online at: http://www.tandfonline.com/doi/full/10.1080/10485252.2012.678848 en_US
dc.subject Adaptive regression en_US
dc.subject Local polynomial regression en_US
dc.subject M-estimator en_US
dc.subject Modal regression en_US
dc.subject Robust nonparametric regression en_US
dc.title Local modal regression en_US
dc.type Article (author version) en_US
dc.date.published 2012 en_US
dc.citation.doi doi:10.1080/10485252.2012.678848 en_US
dc.citation.epage 663 en_US
dc.citation.issue 3 en_US
dc.citation.jtitle Journal of Nonparametric Statistics en_US
dc.citation.spage 647 en_US
dc.citation.volume 24 en_US
dc.contributor.authoreid wxyao en_US

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