The Annals of Statistics

Reducing variance in univariate smoothing

Ming-Yen Cheng, Liang Peng, and Jyh-Shyang Wu

Full-text: Open access

Abstract

A variance reduction technique in nonparametric smoothing is proposed: at each point of estimation, form a linear combination of a preliminary estimator evaluated at nearby points with the coefficients specified so that the asymptotic bias remains unchanged. The nearby points are chosen to maximize the variance reduction. We study in detail the case of univariate local linear regression. While the new estimator retains many advantages of the local linear estimator, it has appealing asymptotic relative efficiencies. Bandwidth selection rules are available by a simple constant factor adjustment of those for local linear estimation. A simulation study indicates that the finite sample relative efficiency often matches the asymptotic relative efficiency for moderate sample sizes. This technique is very general and has a wide range of applications.

Article information

Source
Ann. Statist. Volume 35, Number 2 (2007), 522-542.

Dates
First available in Project Euclid: 5 July 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1183667283

Digital Object Identifier
doi:10.1214/009053606000001398

Mathematical Reviews number (MathSciNet)
MR2336858

Zentralblatt MATH identifier
1117.62038

Subjects
Primary: 62G08: Nonparametric regression 62G05: Estimation
Secondary: 60G20: Generalized stochastic processes

Keywords
Bandwidth coverage probability kernel local linear regression nonparametric smoothing variance reduction

Citation

Cheng, Ming-Yen; Peng, Liang; Wu, Jyh-Shyang. Reducing variance in univariate smoothing. Ann. Statist. 35 (2007), no. 2, 522--542. doi:10.1214/009053606000001398. https://projecteuclid.org/euclid.aos/1183667283


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