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Weighted Kernel regression;
Weighted nonparametric regression
Delicado, Pedro; del Rio, Manuel
Universitat Pompeu Fabra. Departament d'Economia i Empresa
In the fixed design regression model, additional weights areconsidered for the Nadaraya--Watson and Gasser--M\"uller kernel estimators.We study their asymptotic behavior and the relationships between new andclassical estimators. For a simple family of weights, and considering theIMSE as global loss criterion, we show some possible theoretical advantages.An empirical study illustrates the performance of the weighted estimatorsin finite samples.
Statistics, Econometrics and Quantitative Methods
asymptotic behavior
fixed design
nonparametric regression
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