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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/65369
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| Title: | | Smoothed influence function: Another view at robust nonparametric regression  |
| Authors: | | Tamine, Julien |
| Issue Date: | | 2001 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2002,62 |
| Abstract: | | In this work, we introduce a smoothed influence function that constitute a theoretical tool for studying the outliers robustness properties of a large class of nonparametric estimators. With this tool, we first show the nonrobustness of the Nadaraya-Watson estimator of regression. Then we show that the M, the L and the R-estimators of the regression achieve robustness (when estimated by kernel). Our results are illustrated performing Monte-Carlo simulation. |
| Subjects: | | robustness nonparametric regression influence function M-estimator L-estimator R-estimator Von-mises statistical functional generalized Delta-theorem |
| JEL: | | C13 C14 C15 |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10049243 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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