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Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency

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  • Jianqing Fan
  • Theo Gasser
  • Irène Gijbels
  • Michael Brockmann
  • Joachim Engel

Abstract

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Suggested Citation

  • Jianqing Fan & Theo Gasser & Irène Gijbels & Michael Brockmann & Joachim Engel, 1997. "Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(1), pages 79-99, March.
    • Handle: RePEc:spr:aistmt:v:49:y:1997:i:1:p:79-99
    DOI: 10.1023/A:1003162622169
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    Citations

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    Cited by:

    1. Maria Grith & Wolfgang K. Härdle & Alois Kneip & Heiko Wagner, 2016. "Functional Principal Component Analysis for Derivatives of Multivariate Curves," SFB 649 Discussion Papers SFB649DP2016-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Lin, Lu & Song, Yunquan & Liu, Zhao, 2014. "Local linear–additive estimation for multiple nonparametric regressions," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 252-269.
    3. Puhani, Patrick A. & Frölich, Markus, 2002. "Immigration and Heterogeneous Labor in Western Germany: A Labor Market Classification Based on Nonparametric Estimation," ZEW Discussion Papers 02-01, ZEW - Leibniz Centre for European Economic Research.
    4. Ing-Haw Cheng & Harrison Hong & Kelly Shue, 2023. "Do Managers Do Good with Other People’s Money?," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 12(3), pages 443-487.
    5. Dorn, Sabrina & Egger, Peter, 2015. "On the distribution of exchange rate regime treatment effects on international trade," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 75-94.
    6. Timothy B. Armstrong & Michal Kolesár, 2020. "Simple and honest confidence intervals in nonparametric regression," Quantitative Economics, Econometric Society, vol. 11(1), pages 1-39, January.
    7. Gao, Wayne Yuan, 2018. "Minimax linear estimation at a boundary point," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 262-269.
    8. Xie, Qichang & Tang, Guoqiang, 2022. "Do market conditions interfere with the transmission of uncertainty from oil market to stock market? Evidence from a modified quantile-on-quantile approach," Energy Economics, Elsevier, vol. 114(C).
    9. Qifa Xu & Zezhou Wang & Cuixia Jiang & Yezheng Liu, 2023. "Deep learning on mixed frequency data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2099-2120, December.
    10. Ing-Haw Cheng & Harrison Hong & Kelly Shue, 2013. "Do Managers Do Good with Other People's Money?," NBER Working Papers 19432, National Bureau of Economic Research, Inc.
    11. Paul W. Wilson & Kathleen Carey, 2004. "Nonparametric analysis of returns to scale in the US hospital industry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(4), pages 505-524.
    12. Lee, Ji Hyung & Park, Byoung G., 2023. "Nonparametric identification and estimation of the extended Roy model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1087-1113.
    13. David C. Wheelock & Paul W. Wilson, 2009. "Are U.S. banks too large?," Working Papers 2009-054, Federal Reserve Bank of St. Louis.
    14. Frölich, Markus & Puhani, Patrick A., 2002. "Immigration and Heterogeneous Labor in Western Germany," IZA Discussion Papers 418, Institute of Labor Economics (IZA).
    15. Jose C. Galdo & Jeffrey Smith & Dan Black, 2008. "Bandwidth Selection and the Estimation of Treatment Effects with Unbalanced Data," Annals of Economics and Statistics, GENES, issue 91-92, pages 189-216.
    16. J. Vilar-Fernández & J. Vilar-Fernández, 1998. "Recursive Estimation of Regression Functions by Local Polynomial Fitting," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 50(4), pages 729-754, December.
    17. Tomas, Julien & Planchet, Frédéric, 2013. "Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: Application to long-term care insurance," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 573-589.
    18. Kivinen, Aapo, 2018. "The Effect of Relative School Starting Age on Having an Individualized Curriculum in Finland," Working Papers 104, VATT Institute for Economic Research.
    19. Lisi, Francesco & Nan, Fany, 2014. "Component estimation for electricity prices: Procedures and comparisons," Energy Economics, Elsevier, vol. 44(C), pages 143-159.
    20. Wenzhuan Zhang & Yingcun Xia, 2012. "Twicing local linear kernel regression smoothers," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(2), pages 399-417.
    21. Juhyun Park & Burkhardt Seifert, 2010. "Local additive estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 72(2), pages 171-191, March.
    22. David C. Wheelock & Paul W. Wilson, 2018. "The evolution of scale economies in US banking," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 16-28, January.
    23. Tian, Xu & Yu, Xiaohua, 2015. "Using semiparametric models to study nutrition improvement and dietary change with different indices: The case of China," Food Policy, Elsevier, vol. 53(C), pages 67-81.

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