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Bandwidth matrix selectors for multivariate kernel regression

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KOLÁČEK Jan HOROVÁ Ivanka

Rok publikování 2014
Druh Konferenční abstrakty
Fakulta / Pracoviště MU

Přírodovědecká fakulta

Citace
Popis The most important factor in multivariate kernel regression is a choice of a bandwidth matrix. This choice is particularly important, because of its role in controlling both the amount and the direction of multivariate smoothing. Considerable attention has been paid to constrained parameterization of the bandwidth matrix such as a diagonal matrix. The proposed method is based on an optimally balanced relation between the integrated variance and the integrated squared bias. The utility of the method is illustrated through a simulation study and real data applications.

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