Abstract:
We introduce and compare several robust procedures for bandwidth selection when estimating the variance function. These bandwidth selectors are to be used in combination with the robust scale estimates introduced by Boente et al. (2010a). We consider two different robust cross-validation strategies combined with two ways for measuring the cross-validation prediction error. The different proposals are compared with non robust alternatives using Monte Carlo simulation. We also derive some asymptotic results to investigate the large sample performance of the corresponding robust data-driven scale estimators. © 2011 Elsevier B.V. All rights reserved.
Registro:
Documento: |
Artículo
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Título: | Bandwidth choice for robust nonparametric scale function estimation |
Autor: | Boente, G.; Ruiz, M.; Zamar, R.H. |
Filiación: | Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Argentina CONICET, Argentina Universidad Nacional de Ro Cuarto, Argentina University of British Columbia, Canada
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Palabras clave: | Cross-validation; Data-driven bandwidth; Heteroscedasticity; Local M-estimators; Nonparametric regression; Robust estimation; Cross validation; Data-driven; Heteroscedasticity; Local M-estimators; Non-parametric regression; Robust estimation; Asymptotic analysis; Bandwidth; Monte Carlo methods; Estimation |
Año: | 2012
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Volumen: | 56
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Número: | 6
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Página de inicio: | 1594
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Página de fin: | 1608
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DOI: |
http://dx.doi.org/10.1016/j.csda.2011.10.002 |
Título revista: | Computational Statistics and Data Analysis
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Título revista abreviado: | Comput. Stat. Data Anal.
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ISSN: | 01679473
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CODEN: | CSDAD
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Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01679473_v56_n6_p1594_Boente |
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Citas:
---------- APA ----------
Boente, G., Ruiz, M. & Zamar, R.H.
(2012)
. Bandwidth choice for robust nonparametric scale function estimation. Computational Statistics and Data Analysis, 56(6), 1594-1608.
http://dx.doi.org/10.1016/j.csda.2011.10.002---------- CHICAGO ----------
Boente, G., Ruiz, M., Zamar, R.H.
"Bandwidth choice for robust nonparametric scale function estimation"
. Computational Statistics and Data Analysis 56, no. 6
(2012) : 1594-1608.
http://dx.doi.org/10.1016/j.csda.2011.10.002---------- MLA ----------
Boente, G., Ruiz, M., Zamar, R.H.
"Bandwidth choice for robust nonparametric scale function estimation"
. Computational Statistics and Data Analysis, vol. 56, no. 6, 2012, pp. 1594-1608.
http://dx.doi.org/10.1016/j.csda.2011.10.002---------- VANCOUVER ----------
Boente, G., Ruiz, M., Zamar, R.H. Bandwidth choice for robust nonparametric scale function estimation. Comput. Stat. Data Anal. 2012;56(6):1594-1608.
http://dx.doi.org/10.1016/j.csda.2011.10.002