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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
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
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
Volumen:56
Número:6
Página de inicio:1594
Página de fin:1608
DOI: http://dx.doi.org/10.1016/j.csda.2011.10.002
Título revista:Computational Statistics and Data Analysis
Título revista abreviado:Comput. Stat. Data Anal.
ISSN:01679473
CODEN:CSDAD
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