Questions tagged [nadaraya-watson]

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1answer
41 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 ...
0
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1answer
36 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 ...
0
votes
1answer
67 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? ...
0
votes
1answer
154 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)....
0
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0answers
69 views

Connection between Empirical Similarity and Nadaraya Watson

I want to investigate the connection between the Empirical Similarity (ES) and the Nadaraya Watson estimator (NW). As Gilboa et al. (2006) mention in their paper, the ES is reminiscent of the NW. In ...
3
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0answers
51 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 \...
1
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2answers
4k 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 ...
7
votes
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),...,(...
0
votes
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 ...