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Local polynomial regression: optimal kernels and asymptotic minimax efficiency


Fan, Jianqing; Gasser, Theo; Gijbels, Irène; Brockmann, Michael; Engel, Joachim (1997). Local polynomial regression: optimal kernels and asymptotic minimax efficiency. Annals of the Institute of Statistical Mathematics, 49(1):79-99.

Abstract

We consider local polynomial fitting for estimating a regression function and its derivatives nonparametrically. This method possesses many nice features, among which automatic adaptation to the boundary and adaptation to various designs. A first contribution of this paper is the derivation of an optimal kernel for local polynomial regression, revealing that there is a universal optimal weighting scheme. Fan (1993, Ann. Statist., 21, 196-216) showed that the univariate local linear regression estimator is the best linear smoother, meaning that it attains the asymptotic linear minimax risk. Moreover, this smoother has high minimax risk. We show that this property also holds for the multivariate local linear regression estimator. In the univariate case we investigate minimax efficiency of local polynomial regression estimators, and find that the asymptotic minimax efficiency for commonly-used orders of fit is 100% among the class of all linear smoothers. Further, we quantify the loss in efficiency when going beyond this class.

Abstract

We consider local polynomial fitting for estimating a regression function and its derivatives nonparametrically. This method possesses many nice features, among which automatic adaptation to the boundary and adaptation to various designs. A first contribution of this paper is the derivation of an optimal kernel for local polynomial regression, revealing that there is a universal optimal weighting scheme. Fan (1993, Ann. Statist., 21, 196-216) showed that the univariate local linear regression estimator is the best linear smoother, meaning that it attains the asymptotic linear minimax risk. Moreover, this smoother has high minimax risk. We show that this property also holds for the multivariate local linear regression estimator. In the univariate case we investigate minimax efficiency of local polynomial regression estimators, and find that the asymptotic minimax efficiency for commonly-used orders of fit is 100% among the class of all linear smoothers. Further, we quantify the loss in efficiency when going beyond this class.

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32 citations in Web of Science®
35 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:04 Faculty of Medicine > Epidemiology, Biostatistics and Prevention Institute (EBPI)
Dewey Decimal Classification:610 Medicine & health
Language:English
Date:1997
Deposited On:28 Jul 2016 12:33
Last Modified:12 Aug 2016 12:06
Publisher:Springer
ISSN:0020-3157
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1023/A:1003162622169

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