Local linear regression for data with AR errors

Runze Li, Yan Li

Research output: Contribution to journalArticle

7 Scopus citations

Abstract

In many statistical applications, data are collected over time, and they are likely correlated. In this paper, we investigate how to incorporate the correlation information into the local linear regression. Under the assumption that the error process is an auto-regressive process, a new estimation procedure is proposed for the nonparametric regression by using local linear regression method and the profile least squares techniques. We further propose the SCAD penalized profile least squares method to determine the order of auto-regressive process. Extensive Monte Carlo simulation studies are conducted to examine the finite sample performance of the proposed procedure, and to compare the performance of the proposed procedures with the existing one. From our empirical studies, the newly proposed procedures can dramatically improve the accuracy of naive local linear regression with working-independent error structure. We illustrate the proposed methodology by an analysis of real data set.

Original languageEnglish (US)
Pages (from-to)427-444
Number of pages18
JournalActa Mathematicae Applicatae Sinica
Volume25
Issue number3
DOIs
StatePublished - Jul 2009

All Science Journal Classification (ASJC) codes

  • Applied Mathematics

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