Asymptotically optimal selection of a piecewise polynomial estimator of a regression function
type: Item
instance of: scholarly article
title: Asymptotically optimal selection of a piecewise polynomial estimator of a regression function
zbMATH Open document ID: 0633.62038
DOI: 10.1016/0047-259X(87)90087-X
author: Keh-Wei Chen
published in: Journal of Multivariate Analysis
publication date: 1987-01-01T00:00:00Z
review text: Consider a random vector (X,Y) with values in \([0,1]^ d\times {\mathbb{R}}\) and assume that \(g(x)=E(Y| X=x)\) exists. Given an i.i.d sample \((X_ 1,Y_ 1),...,(X_ n,Y_ n)\) the regression function g has to be estimated. The approach discussed in this paper is the method of fitting piecewise polynomials of degree \(k_ n\) on small subcubes of length \(m_ n^{-1}\). The amount of smoothing is controlled by the parameters \((k_ n,m_ n)\) and these can be chosen by minimizing the final prediction error (FPE-criterion) of \textit{H. Akaike} [Ann. Inst. Stat. Math. 22, 203-217 (1970; Zbl 0259.62076)]. The author proves that this procedure is asymptotically efficient with respect to the squared error provided some moment conditions hold, the density of X is bounded from below and g is not a piecewise polynomial itself.
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62H12
zbMATH DE Number: 4030721
zbMATH Keywords: model selection
zbMATH Keywords: asymptotic efficiency
zbMATH Keywords: fitting piecewise polynomials
zbMATH Keywords: final prediction error
zbMATH Keywords: FPE-criterion
zbMATH Keywords: moment conditions
reviewed by: Ulrich Stadtmüller
MaRDI profile type: Publication
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full work available at URL: 0047-259x(87)90087-x
OpenAlex ID: W2072084563
description: scientific article; zbMATH DE number 4030721