Questions tagged [nadaraya-watson]
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9
questions
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Optimal grid for Nadaraya-Watson CV bandwidth selection
Is there any rule of thumb or optimization technique for number of grid points for Kernel Regression?
I am doing Nadaraya-Watson on 10 years data (2500 daily observations) of Swap rate. While ...
2
votes
1answer
50 views
Nadaraya Watson regression increasing bandwidth
I'm working with the Nadaraya Watson estimator and read the book of Wand and Jones (Kernel Smoothing, 1995) for introduction. On page 117 (for those who have the book) there is written that with ...
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1answer
72 views
How can I implement univariate Nadaraya-Watson regression for prediction？
How can I implement univariate Nadaraya-Watson regression for prediction？
And what is the $x ,x_i$, and $y_i$? How can I select the $x ,x_i$, and $y_i$？ The sample for prediction and the shape of ...
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1answer
85 views
Multivariate plug-in bandwidth estimator local constant regression
Has someone good references for multivariate plug-in bandwidth estimators in local constant regression? All I'm finding is for the univaraite case.
And is there maybe already an implementation in R? ...
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1answer
167 views
Nadaraya Watson Bandwidth-Variance
I'm working with the Nadaraya Watson estimator and calculate the optimal bandwidth h with leave one out cross validation.
Now I'd like to get the variance of h (not the variance of the NW estimator)....
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0answers
56 views
Nonparametric Quantile Regression for AR(1)-ARCH(1) process
I would like to estimate the conditional scale function $(\sigma_\tau(X_t))$ in a QAR-QARCH model represented by:
\begin{equation}
Y_t = \mu_\tau(X_t) + \sigma_\tau(X_t)\epsilon_t,\, t = 1,2,\ldots
\...
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2answers
5k views
How to choose appropriate bandwidth for kernel regression?
I'm trying to understand how to choose an appropriate bandwidth for kernel regression. Note that this is NOT about kernel density estimation (unless someone can ...
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1answer
1k views
Nadaraya-Watson Optimal Bandwidth
I am currently working on a statistical project where I need to estimate a conditional expectation $E[Y|X=x_i]$ using the Nadaraya-Watson estimator. For doing that, I have the sample $(x_1,y_1),...,(...
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1answer
2k views
What is Nadaraya-Watson Kernel Regression Estimator for Multivariate Response?
Given a regression setting with covariates $X_{n \times m}$ and response $Y_{n \times p}$ where $p>1$, i.e the responses are vector-valued or multivariate, is there a Nadaraya-Watson estimator for ...
