Local Walsh Average Regression
主 题: Local Walsh Average Regression
报告人: Professor Zhaojun Wang (南开大学welcome欢迎光临威尼斯公司统计系主任)
时 间: 2010-09-16 14:00 - 15:00
地 点: 理科一号楼 1303
Local polynomial regression is widely used for nonparametric regression. However, the efficiency of least squares (LS) based methods is adversely affected by outlying observations and heavy tailed distributions. On the other hand, the least absolute deviation (LAD) estimator is more robust, but may be inefficient for many distributions of interest. Kai, Li and Zou (2010) propose a nonparametric regression technique called local composite quantile regression (LCQR) smoothing to improve local polynomial regression further. However, the performance of LCQR depends on the choice of the number of quantiles to combine, a meta parameter which plays vital roles in balancing the performance of LS and LAD based methods. To overcome this issue, we propose a novel method termed the local Walsh-average regression (LWAR) estimator by minimizing a locally Walsh-average based loss function. Under the same assumptions in Kai, Li and Zou (2010), we theoretically show that the proposed estimator is highly efficient across a wide spectrum of distributions. Its asymptotic relative efficiency with respect to the LS based method is closely related to that of the signed-rank Wilcoxon test in comparison with the $t$-test. Both of the theoretical and numerical results demonstrate that the performance of the new approach and LCQR is at least comparable in estimating nonparametric regression function or its derivatives and in some cases the new approach performs better than the LCQR with commonly recommended number of quantiles, especially for estimating the regression function. Besides, the minimization algorithm for LWAR is much faster because it has much less parameters. \vspace{0.2cm} \noindent{{\bf Keywords:} Asymptotic efficiency; Local composite quantile estimator; Local polynomial regression; Robust nonparametric regression; Walsh-average regression}
