The local linear M-estimator with a robust initial estimate
學年 95
學期 1
出版（發表）日期 2006-12-01
作品名稱 The local linear M-estimator with a robust initial estimate
作品名稱（其他語言）
著者 Hwang, Ruey-ching; 鄧文舜; Deng, Wen-shuenn; Chu, Chih-kang
單位 淡江大學統計學系
出版者 中國統計學社
著錄名稱、卷期、頁數 中國統計學報44(4)，頁382-401
摘要 In the field of nonparametric regression, the local linear M-estimator (LLM; Fan and Jiang 1999) is proposed to adjust for the unrobustness of the local linear estimator (LLE; Fan 1992, 1993). In practice, the LLM is often computed using Newton method together with an initial estimate produced by the LLE. However, by the unrobustness of the LLE, such initial estimate might be far from the global minimizer of M function. In this case, the Newton method might provide an incorrect solution for the LLM. To improve the drawback, a robust initial estimate for Newton method is proposed. Simulation results show that our robust initial estimate is useful when using Newton method to find a solution for the LLM.
關鍵字 local linear estimator; local linear M-estimator; Newton method; nonparametric regression; robust initial estimate; robustness
語言 en
ISSN 0529-6528
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