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Relative error prediction in nonparametric deconvolution regression model

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  • Baba Thiam

Abstract

In this paper, we studied an alternative estimator of the regression function when the covariates are observed with error. It is based on the minimization of the relative mean squared error. We obtain expressions for its asymptotic bias and variance together with an asymptotic normality result. Our technique is illustrated on simulation studies. Numerical results suggest that the studied estimator can lead to tangible improvements in prediction over the usual kernel deconvolution regression estimator, particularly in the presence of several outliers in the dataset.

Suggested Citation

  • Baba Thiam, 2019. "Relative error prediction in nonparametric deconvolution regression model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 73(1), pages 63-77, February.
    • Handle: RePEc:bla:stanee:v:73:y:2019:i:1:p:63-77
    DOI: 10.1111/stan.12135
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