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Theory in time series analysis is often developed in the context of finite-dimensional models for the data generating …
Persistent link: https://www.econbiz.de/10009660380
Additive modelling has been widely used in nonparametric regression to circumvent the "curse of dimensionality", by reducing the problem of estimating a multivariate regression function to the estimation of its univariate components. Estimation of these univariate functions, however, can suffer...
Persistent link: https://www.econbiz.de/10009626746
Additive modelling is known to be useful for multivariate nonparametric regression as it reduces the complexity of problem to the level of univariate regression. This usefulness could be compromised if the data set was contaminated by outliers whose detection and removal are particularly...
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the theory of robust statistics, which builds upon parametric specification, but provides a methodology for designing …
Persistent link: https://www.econbiz.de/10009618360
In this work, we introduce a smoothed influence function that constitute a theoretical tool for studying the outliers robustness properties of a large class of nonparametric estimators. With this tool, we first show the nonrobustness of the Nadaraya-Watson estimator of regression. Then we show...
Persistent link: https://www.econbiz.de/10009626684
Deviations from the center within a robust neighborhood may naturally be considered an infinite dimensional nuisance parameter. Thus, in principle, the semiparametric method may be tried, which is to compute the scores function for the main parameter minus its orthogonal projection on the closed...
Persistent link: https://www.econbiz.de/10009581097