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- Title
A Simple Estimator of Error Correlation in Non-parametric Regression Models.
- Authors
PARK, BYEONG U.; YOUNG KYUNG LEE; TAE YOON KIM; CHEOLYONG PARK
- Abstract
It is well known that major strength of non-parametric regression function estimation breaks down when correlated errors exist in the data. Positively (negatively) correlated errors tend to produce undersmoothing (oversmoothing). Several remedies have been proposed in the context of bandwidth selection problem, but they are hard to implement without prior knowledge of error correlations. In this paper we propose a simple estimator of error correlation which is ready to implement and reports a reasonably good performance.
- Subjects
REGRESSION analysis; STATISTICS; MATHEMATICAL statistics; ESTIMATION theory; ERRORS
- Publication
Scandinavian Journal of Statistics, 2006, Vol 33, Issue 3, p451
- ISSN
0303-6898
- Publication type
Article
- DOI
10.1111/j.1467-9469.2006.00506.x