Detail publikačního výsledku

Statistical properties of the local linear estimator of conditional density

KONEČNÁ, K.

Originální název

Statistical properties of the local linear estimator of conditional density

Anglický název

Statistical properties of the local linear estimator of conditional density

Druh

Stať ve sborníku v databázi WoS či Scopus

Originální abstrakt

This contribution focuses on the kernel conditional density estimations. % which provides a very comprehensive information about the analyzed data set. There are two basic estimators - the Nadaraya-Watson and the local linear estimator, we deal with the statistical properties of the second one. Derived characteristics of bias and variance of the estimator are compared with the results of the other authors via simulation study. The simulation study proved better statistical properties of the suggested characteristics. Additionally, the optimal values of smoothing parameters are derived by minimizing of Asymptotic Mean Integrated Squared Error. A data-driven method for practical estimation of the smoothing parameters is suggested - the derivation of formulas for the cross-validation method is extended from the Nadaraya-Watson to the local linear estimator.

Anglický abstrakt

This contribution focuses on the kernel conditional density estimations. % which provides a very comprehensive information about the analyzed data set. There are two basic estimators - the Nadaraya-Watson and the local linear estimator, we deal with the statistical properties of the second one. Derived characteristics of bias and variance of the estimator are compared with the results of the other authors via simulation study. The simulation study proved better statistical properties of the suggested characteristics. Additionally, the optimal values of smoothing parameters are derived by minimizing of Asymptotic Mean Integrated Squared Error. A data-driven method for practical estimation of the smoothing parameters is suggested - the derivation of formulas for the cross-validation method is extended from the Nadaraya-Watson to the local linear estimator.

Klíčová slova

kernel smoothing; conditional density; local linear estimator; statistical properties; bandwidths; cross-validation method

Klíčová slova v angličtině

kernel smoothing; conditional density; local linear estimator; statistical properties; bandwidths; cross-validation method

Autoři

KONEČNÁ, K.

Rok RIV

2018

Vydáno

15.06.2017

Místo

Brno

ISBN

978-80-7231-417-1

Kniha

Matematika, informační technologie a aplikované vědy, MITAV 2017

Strany od

1

Strany do

7

Strany počet

7

BibTex

@inproceedings{BUT137455,
  author="Kateřina {Pokorová}",
  title="Statistical properties of the local linear estimator of conditional density",
  booktitle="Matematika, informační technologie a aplikované vědy, MITAV 2017",
  year="2017",
  pages="1--7",
  address="Brno",
  isbn="978-80-7231-417-1"
}