研究者情報 | 神奈川大学

カナザワ　ユウイチロウ Kanazawa Yuichiro 金澤　雄一郎所属神奈川大学経済学部経済学科/現代ビジネス学科職種教授
言語種別	英語
発行・発表の年月	2011/12
形態種別	学術雑誌
査読	査読あり
標題	INTRODUCTION TO THE VARIANCE-STABILIZING BANDWIDTH FOR THE NADARAYA-WATSON REGRESSION ESTIMATOR
執筆形態	共著
掲載誌名	Bulletin of informatics and cybernetics
出版社・発行元	Kyushu University
巻・号・頁	43,pp.53-66
著者・共著者	◎Kiheiji NISHIDA, Yuichiro KANAZAWA
概要	In linear regression under heteroscedastic variances, Aitken estimator is employed to account for the differences in variances. Employing the same principle, we propose the Nadaraya-Watson regression estimator with variable variance-stabilizing bandwidth (VS bandwidth) that minimizes asymptotic MISE (AMISE) while maintaining asymptotic homoscedasticity. We examine its local and global properties relative to the MISE minimizing fixed bandwidth. The proposed VS bandwidth produces the asymptotic variance smaller on some part of the support than the fixed bandwidth and may in some cases achieve smaller AMISE than its fixed counterpart. In numerical examples, we find that the proposed VS bandwidth is more serviceable when the distribution of X's are flatter.
DOI	10.5109/1434311
ISSN	2435743X/0286522X