Statistics and Its Interface
Volume 9 (2016)
Optimal bandwidth selection for semi-recursive kernel regression estimators
Pages: 375 – 388
In this paper we propose an automatic selection of the bandwidth of the semi-recursive kernel estimators of a regression function defined by the stochastic approximation algorithm. We showed that, using the selected bandwidth and some special stepsizes, the proposed semi-recursive estimators will be very competitive to the nonrecursive one in terms of estimation error but much better in terms of computational costs. We corroborated these theoretical results through simulation study and a real dataset.
nonparametric regression, stochastic approximation algorithm, smoothing, curve fitting
2010 Mathematics Subject Classification
Primary 62G08, 62L20. Secondary 65D10.