Bernoulli

  • Bernoulli
  • Volume 15, Number 3 (2009), 614-633.

Nonparametric “regression” when errors are positioned at end-points

Peter Hall and Ingrid Van Keilegom

Full-text: Open access

Abstract

Increasing practical interest has been shown in regression problems where the errors, or disturbances, are centred in a way that reflects particular characteristics of the mechanism that generated the data. In economics this occurs in problems involving data on markets, productivity and auctions, where it can be natural to centre at an end-point of the error distribution rather than at the distribution’s mean. Often these cases have an extreme-value character, and in that broader context, examples involving meteorological, record-value and production-frontier data have been discussed in the literature. We shall discuss nonparametric methods for estimating regression curves in these settings, showing that they have features that contrast so starkly with those in better understood problems that they lead to apparent contradictions. For example, merely by centring errors at their end-points rather than their means the problem can change from one with a familiar nonparametric character, where the optimal convergence rate is slower than $n^{−1/2}$, to one in the super-efficient class, where the optimal rate is faster than $n^{−1/2}$. Moreover, when the errors are centred in a non-standard way there is greater intrinsic interest in estimating characteristics of the error distribution, as well as of the regression mean itself. The paper will also address this aspect of the problem.

Article information

Source
Bernoulli, Volume 15, Number 3 (2009), 614-633.

Dates
First available in Project Euclid: 28 August 2009

Permanent link to this document
https://projecteuclid.org/euclid.bj/1251463274

Digital Object Identifier
doi:10.3150/08-BEJ173

Mathematical Reviews number (MathSciNet)
MR2555192

Zentralblatt MATH identifier
1200.62036

Keywords
bandwidth curve estimation extreme-value theory jump discontinuity kernel local linear methods local polynomial methods nonparametric regression smoothing super efficiency

Citation

Hall, Peter; Van Keilegom, Ingrid. Nonparametric “regression” when errors are positioned at end-points. Bernoulli 15 (2009), no. 3, 614--633. doi:10.3150/08-BEJ173. https://projecteuclid.org/euclid.bj/1251463274


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