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Title:The efficiency of bias-corrected estimators for nonparametric kernel estimation based on local estimating equations PDF Logo
Authors:Kauermann, Göran
Müller, Marlene
Carroll, Raymond J.
Issue Date:1997
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,70
Abstract:Stuetzle and Mittal (1979) for ordinary nonparametric kernel regression and Kauermann and Tutz (1996) for nonparametric generalized linear model kernel regression constructed estimators with lower order bias than the usual estimators, without the need for devices such as second derivative estimation and multiple bandwidths of different order. We derive a similar estimator in the context of local (multivariate) estimation based on estimating functions. As expected, this lower order bias is bought at a cost of increased variance. Surprisingly, when compared to ordinary kernel and local linear kernel estimators, the bias-corrected estimators increase variance by a factor independent of the problem, depending only on the kernel used. The variance increase is approximately 40% and more for kernels in standard use. However, the variance increase is still less than that incurred when undersmoothing a local quadratic regression estimator.
Subjects:Bootstrap
Nonparametric Regression
Estimating Equations
Generalized Linear Models
Local Linear Regression
Bias Reduction
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10064567
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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