Local Polynomial Modelling and Its Applications

Similar documents
Smooth functions and local extreme values

Generalized Linear. Mixed Models. Methods and Applications. Modern Concepts, Walter W. Stroup. Texts in Statistical Science.

Local Polynomial Regression

WEIGHTED QUANTILE REGRESSION THEORY AND ITS APPLICATION. Abstract

Econ 582 Nonparametric Regression

Discussion of the paper Inference for Semiparametric Models: Some Questions and an Answer by Bickel and Kwon

Mathematics for Engineers and Scientists

Automatic Local Smoothing for Spectral Density. Abstract. This article uses local polynomial techniques to t Whittle's likelihood for spectral density

A New Method for Varying Adaptive Bandwidth Selection

PRINCIPLES OF STATISTICAL INFERENCE

Nonparametric Methods

Linear Models 1. Isfahan University of Technology Fall Semester, 2014

Introduction to machine learning and pattern recognition Lecture 2 Coryn Bailer-Jones

Nonparametric Regression Härdle, Müller, Sperlich, Werwarz, 1995, Nonparametric and Semiparametric Models, An Introduction

Applied Probability and Stochastic Processes

Comments on \Wavelets in Statistics: A Review" by. A. Antoniadis. Jianqing Fan. University of North Carolina, Chapel Hill

Ronald Christensen. University of New Mexico. Albuquerque, New Mexico. Wesley Johnson. University of California, Irvine. Irvine, California

Nonparametric Inference in Cosmology and Astrophysics: Biases and Variants

Local regression I. Patrick Breheny. November 1. Kernel weighted averages Local linear regression

High-dimensional regression with unknown variance

DavidAllanBurt. Dissertation submitted to the Faculty of the. Virginia Polytechnic Institute and State University

Local linear multiple regression with variable. bandwidth in the presence of heteroscedasticity

Regression, Ridge Regression, Lasso

Continuous Univariate Distributions

ECON 721: Lecture Notes on Nonparametric Density and Regression Estimation. Petra E. Todd

Elementary Applications of Probability Theory

Appendix A Summary of Tasks. Appendix Table of Contents

Time Series Analysis. James D. Hamilton PRINCETON UNIVERSITY PRESS PRINCETON, NEW JERSEY

Teruko Takada Department of Economics, University of Illinois. Abstract

Bias Correction and Higher Order Kernel Functions

A Design Unbiased Variance Estimator of the Systematic Sample Means

4 Nonparametric Regression

Continuous Univariate Distributions

University, Tempe, Arizona, USA b Department of Mathematics and Statistics, University of New. Mexico, Albuquerque, New Mexico, USA

Applied Time. Series Analysis. Wayne A. Woodward. Henry L. Gray. Alan C. Elliott. Dallas, Texas, USA

Time Series: Theory and Methods

Penalized Splines, Mixed Models, and Recent Large-Sample Results

Adaptive Kernel Estimation of The Hazard Rate Function

Do Large Banks have Lower Costs? New Estimates of Returns to Scale for U.S. Banks Appendices A D

TIME SERIES DATA ANALYSIS USING EVIEWS

A Note on Data-Adaptive Bandwidth Selection for Sequential Kernel Smoothers

Motivational Example

Defect Detection using Nonparametric Regression

Model-free prediction intervals for regression and autoregression. Dimitris N. Politis University of California, San Diego

Automatic Autocorrelation and Spectral Analysis

Preface Introduction to Statistics and Data Analysis Overview: Statistical Inference, Samples, Populations, and Experimental Design The Role of

Additive Isotonic Regression

Numerical Analysis for Statisticians

Finite Population Sampling and Inference

A Course in Time Series Analysis

Response Surface Methodology

PART I INTRODUCTION The meaning of probability Basic definitions for frequentist statistics and Bayesian inference Bayesian inference Combinatorics

Local Polynomial Wavelet Regression with Missing at Random

Nonparametric Regression

Time Series. Anthony Davison. c

Estimation of cumulative distribution function with spline functions

An Asymptotic Study of Variable Bandwidth Selection for Local Polynomial Regression with Application to Density Estimation

Lessons in Estimation Theory for Signal Processing, Communications, and Control

Now consider the case where E(Y) = µ = Xβ and V (Y) = σ 2 G, where G is diagonal, but unknown.

From Practical Data Analysis with JMP, Second Edition. Full book available for purchase here. About This Book... xiii About The Author...

Irr. Statistical Methods in Experimental Physics. 2nd Edition. Frederick James. World Scientific. CERN, Switzerland

Nonparametric Modal Regression

Local Modelling of Nonlinear Dynamic Systems Using Direct Weight Optimization

Nonparametric Regression. Changliang Zou

Econometric Analysis of Cross Section and Panel Data

Fourier Analysis of Stationary and Non-Stationary Time Series

COMMENTS ON «WAVELETS IN STATISTICS: A REVIEW» BY A. ANTONIADIS

Density estimation Nonparametric conditional mean estimation Semiparametric conditional mean estimation. Nonparametrics. Gabriel Montes-Rojas

Modelling Non-linear and Non-stationary Time Series

Contents. Preface to the Third Edition (2007) Preface to the Second Edition (1992) Preface to the First Edition (1985) License and Legal Information

ECONOMICS 7200 MODERN TIME SERIES ANALYSIS Econometric Theory and Applications

covariance function, 174 probability structure of; Yule-Walker equations, 174 Moving average process, fluctuations, 5-6, 175 probability structure of

Stat 5101 Lecture Notes

Choosing the Summary Statistics and the Acceptance Rate in Approximate Bayesian Computation

Nonparametric Regression. Badr Missaoui

Alternatives to Basis Expansions. Kernels in Density Estimation. Kernels and Bandwidth. Idea Behind Kernel Methods

arxiv: v5 [stat.me] 12 Jul 2016

Section 7: Local linear regression (loess) and regression discontinuity designs

12 - Nonparametric Density Estimation

SCALE SPACE VIEW OF CURVE ESTIMATION. By Probal Chaudhuri and J. S. Marron Indian Statistical Institute and University of North Carolina

Contents. Part I: Fundamentals of Bayesian Inference 1

Testing Statistical Hypotheses

A nonparametric method of multi-step ahead forecasting in diffusion processes

Time Series and Forecasting Lecture 4 NonLinear Time Series

Pattern Recognition and Machine Learning

Statistical Methods for Forecasting

O Combining cross-validation and plug-in methods - for kernel density bandwidth selection O

Nonparametric Estimation of Functional-Coefficient Autoregressive Models

Econometrics I. Lecture 10: Nonparametric Estimation with Kernels. Paul T. Scott NYU Stern. Fall 2018

Wiley. Methods and Applications of Linear Models. Regression and the Analysis. of Variance. Third Edition. Ishpeming, Michigan RONALD R.

Generalized Additive Models

Time Series Analysis. James D. Hamilton PRINCETON UNIVERSITY PRESS PRINCETON, NEW JERSEY

Linear Models in Statistics

Local Modelling with A Priori Known Bounds Using Direct Weight Optimization

APPLIED TIME SERIES ECONOMETRICS

Extending clustered point process-based rainfall models to a non-stationary climate

PENALIZED LIKELIHOOD PARAMETER ESTIMATION FOR ADDITIVE HAZARD MODELS WITH INTERVAL CENSORED DATA

Tobit and Interval Censored Regression Model

Introduction to Linear regression analysis. Part 2. Model comparisons

Data Fitting and Uncertainty

Transcription:

Local Polynomial Modelling and Its Applications J. Fan Department of Statistics University of North Carolina Chapel Hill, USA and I. Gijbels Institute of Statistics Catholic University oflouvain Louvain-la-Neuve, Belgium CHAPMAN & HALL London Weinheim New York Tokyo Melbourne Madras

Contents Preface xiii 1 Introduction 1 1.1 Prom linear regression to nonlinear regression 1 1.2 Local modelling 4 1.3 Bandwidth selection and model complexity 7 1.4 Scope of the book 9 1.5 Implementation of nonparametric techniques 11 1.6 Further reading 12 2 Overview of existing methods 13 2.1 Introduction 13 2.2 Kernel estimators 14 2.2.1 Nadaraya-Watson estimator 14 2.2.2 Gasser-Miiller estimator 15 2.2.3 Limitations of a local constant fit 17 2.3 Local polynomial fitting and derivative estimation 18 2.3.1 Local polynomial fitting 19 2.3.2 Derivative estimation 22 2.4 Locally weighted scatter plot smoothing 22 2.4.1 Robust locally weighted regression 24 2.4.2 An example 26 2.5 Wavelet thresholding, 27 2.5.1 Orthogonal series based methods 28 2.5.2 Basic ingredient of multiresolution analysis 31 2.5.3 Wavelet shrinkage estimator 34 2.5.4 Discrete wavelet transform 35 2.6 Spline smoothing 39 2.6.1 Polynomial spline 40 2.6.2 Smoothing spline 43

CONTENTS 2.7 Density estimation 46 2.7.1 Kernel density estimation 46 2.7.2 Regression view of density estimation 50 2.7.3 Wavelet estimators 52 2.7.4 Logspline method 54 2.8 Bibliographic notes 55 Framework for local polynomial regression 57 3.1 Introduction 57 3.2 Advantages of local polynomial fitting 60 3.2.1 Bias and variance 61 3.2.2 Equivalent kernels 63 3.2.3 Ideal choice of bandwidth 66 3.2.4 Design adaptation property 68 3.2.5 Automatic boundary carpentry 69 3.2.6 Universal optimal weighting scheme 74 3.3 Which order of polynomial fit to use? 76 3.3.1 Increases of variability 77 3.3.2 It is an odd world 79 3.3.3 Variable order approximation 80 3.4 Best linear smoothers 84 3.4.1 Best linear smoother at interior: optimal rates and constants 84 3.4.2 Best linear smoother at boundary 89 3.5 Minimax efficiency of local polynomial fitting 91 3.5.1 Modulus of continuity 92 3.5.2 Best rates and nearly best constant 94 3.6 Fast computing algorithms 94 3.6.1 Binning implementation 96 3.6.2 Updating algorithm 99 3.7 Complements 100 3.8 Bibliographic notes 105 Automatic determination of model complexity 109 4.1 Introduction 109 4.2 Rule of thumb for bandwidth selection 110 4.3 Estimated bias and variance 113 4.4 Confidence intervals 116 4.5 Residual squares criterion 118 4.5.1 Residual squares criterion 118 4.5.2, Constant bandwidth selection 119 4.5.3 Variable bandwidth selection 122

CONTENTS ix 4.5.4 Computation and related issues 122 4.6 Refined bandwidth selection 123 4.6.1 Improving rates of convergence 123 4.6.2 Constant bandwidth selection 123 4.6.3 Variable bandwidth selection 124 4.7 Variable bandwidth and spatial adaptation 128 4.7.1 Qualification of spatial adaptation 128 4.7.2 Comparison with wavelets 129 4.8 Smoothing techniques in use 132 4.8.1 Example 1: modelling and model diagnostics 133 4.8.2 Example 2: comparing two treatments 136 4.8.3 Example 3: analyzing a longitudinal data set 137 4.9 A blueprint for local modelling 141 4.10 Other existing methods 148 4.10.1 Normal reference method 149 4.10.2 Cross-validation 149 4.10.3 Nearest neighbor bandwidth 151 4.10.4 Plug-in ideas 152 4.10.5 Sheather and Jones' bandwidth selector 153 4.11 Complements 154 4.12 Bibliographic notes 157 5 Applications of local polynomial modelling 159 5.1 Introduction 159 5.2 Censored regression 160 5.2.1 Preliminaries 160 5.2.2 Censoring unbiased transformation 165 5.2.3 Local polynomial regression 170 5.2.4 An asymptotic result 173 5.3 Proportional hazards model 175 5.3.1 Partial likelihood 175 5.3.2 Local partial likelihood 179 5.3.3 Determining model complexity 183 5.3.4 Complete likelihood 187 5.4 Generalized linear models 189 5.4.1 Exponential family models 190 5.4.2 Quasi-likelihood and deviance residuals 193 5.4.3 Local quasi-likelihood 194 5.4.4 Bias and variance 196 5.4.5 Bandwidth selection 197 5.5 Robust regression 199 5.5.1 Robust methods 199

x CONTENTS 5.5.2 Quantile regression 201 5.5.3 Simultaneous estimation of location and scale functions 207 5.6 Complements 208 5.7 Bibliographic notes 214 6 Applications in nonlinear time series 217 6.1 Introduction 217 6.2 Nonlinear prediction 218 6.2.1 Mixing conditions 218 6.2.2 Local polynomial fitting 220 6.2.3 Estimation of conditional densities 224 6.3 Percentile and expectile regression 228 6.3.1 Regression percentile 229 6.3.2 Expectile regression 230 6.4 Spectral density estimation 233 6.4.1 Smoothed log-periodogram 235 6.4.2 Maximum local likelihood method 237 6.4.3 Smoothed periodogram 242 6.5 Sensitivity measures and nonlinear prediction 243 6.5.1 Sensitivity measures 244 6.5.2 Noise amplification 247 6.5.3 Nonlinear prediction error 247 6.6 Complements 249 6.7 Bibliographic notes 260 7 Local polynomial regression for multivariate data 263 7.1 Introduction 263 7.2 Generalized additive models 265 7.3 Generalized partially linear single-index models 272 7.3.1 Partially linear models 273 7.3.2 Single-index models 274 7.3.3 Generalized partially linear single-index models276 7.4 Modelling interactions 283 7.4.1 Interactions in generalized additive models 283 7.4.2 Interactions in generalized partially linear single-index models 287 7.4.3 Multivariate adaptive regression splines 289 7.5 Sliced inverse regression 290 7.6 Local polynomial regression as a building block 295 7.7 Robustness 296 7.8 Local linear regression in the multivariate setting 297

CONTENTS 7.8.1 Multivariate local linear regression estimator 7.8.2 Bias and variance 7.8.3 Optimal weight function 7.8.4 Efficiency 7.9 BiblioEraDhic notes XI 297 301 302 303 304 References 307 Author index 330 Subject index 336