Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/241945 
Year of Publication: 
2021
Series/Report no.: 
cemmap working paper No. CWP09/21
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
Let i = 1, . . . , N index a simple random sample of units drawn from some large population. For each unit we observe the vector of regressors Xi and, for each of the N (N - 1) ordered pairs of units, an outcome Yij . The outcomes Yij and Ykl are independent if their indices are disjoint, but dependent otherwise (i.e., "dyadically dependent"). Let Wij = (X'i, X'j )' ; using the sampled data we seek to construct a nonparametric estimate of the mean regression function g(Wij)=E[YijXi, Xj]. We present two sets of results. First, we calculate lower bounds on the minimax risk for estimating the regression function at (i) a point and (ii) under the infinity norm. Second, we calculate (i) pointwise and (ii) uniform convergence rates for the dyadic analog of the familiar Nadaraya-Watson (NW) kernel regression estimator. We show that the NW kernel regression estimator achieves the optimal rates suggested by our risk bounds when an appropriate bandwidth sequence is chosen. This optimal rate differs from the one available under iid data: the effective sample size is smaller and dw = dim(Wij ) influences the rate differently.
Subjects: 
Networks
Exchangeable Random Graphs
Dyadic Regression
Kernel Regression
Minimax Risk
Uniform Convergence
JEL: 
C14
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
494.43 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.