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	2015
形態種別	学術雑誌
査読	査読あり
標題	On Variance-Stabilizing Multivariate Non Parametric Regression Estimation
執筆形態	共著
掲載誌名	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
出版社・発行元	TAYLOR & FRANCIS INC
巻・号・頁	44(10),pp.2151-2175
著者・共著者	◎Kiheiji NISHIDA, Yuichiro KANAZAWA
概要	The mean squared error (MSE)-minimizing local variable bandwidth for the univariate local linear estimator (the LL) is well-known. This bandwidth does not stabilize variance over the domain. Moreover, in regions where a regression function has zero curvature, the LL estimator is discontinuous. In this paper, we propose a variance-stabilizing (VS) local variable diagonal bandwidth matrix for the multivariate LL estimator. Theoretically, the VS bandwidth can outperform the multivariate extension of the MSE-minimizing local variable scalar bandwidth in terms of asymptotic mean integrated squared error and can avoid discontinuity created by the MSE-minimizing bandwidth. We present an algorithm for estimating the VS bandwidth and simulation studies.
DOI	10.1080/03610926.2013.775298
ISSN	03610926