Plug‐in bandwidth selector for recursive kernel regression estimators defined by stochastic approximation method. (20th May 2015)

• Record Type: Journal Article
• Authors: Slaoui, Yousri
• Is Part Of: Statistica Neerlandica. Volume 69:Number 4(2015:Nov.)
• Page Start: 483
• Page End: 509
• Publication Date: 2015-05-20
• Subjects: Statistics -- Periodicals; 519.5; 314.92
• DOI: 10.1111/stan.12069
• Languages: English
• ISSNs: 0039-0402

Abstract

<abstract abstract-type="main" id="stan12069-abs-0001"> <title> <x xml:space="preserve">Abstract</x> </title> <p id="stan12069-para-0001">In this paper, we propose an automatic selection of the bandwidth of the recursive kernel estimators of a regression function defined by the stochastic approximation algorithm. We showed that, using the selected bandwidth and the stepsize which minimize the <italic>mean weighted integrated squared error</italic>, the recursive estimator will be better than the non‐recursive one for small sample setting in terms of estimation error and computational costs. We corroborated these theoretical results through simulation study and a real dataset.</p> </abstract>