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Multivariate Local Fitting with General Basis Functions

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  • Jochen Einbeck

    (Ludwig Maximilians Universität)

Abstract

Summary In this paper we combine the concepts of local smoothing and fitting with basis functions for multivariate predictor variables. We start with arbitrary basis functions and show that the asymptotic variance at interior points is independent of the choice of the basis. Moreover we calculate the asymptotic variance at boundary points. We are not able to compute the asymptotic bias since a Taylor theorem for arbitrary basis functions does not exist. For this reason we focus on basis functions without interactions and derive a Taylor theorem which covers this case. This theorem enables us to calculate the asymptotic bias for interior as well as for boundary points. We demonstrate how advantage can be taken of the idea of local fitting with general basis functions by means of a simulated data set, and also provide a data-driven tool to optimize the basis.

Suggested Citation

  • Jochen Einbeck, 2003. "Multivariate Local Fitting with General Basis Functions," Computational Statistics, Springer, vol. 18(2), pages 185-203, July.
    • Handle: RePEc:spr:compst:v:18:y:2003:i:2:d:10.1007_s001800300140
    DOI: 10.1007/s001800300140
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    References listed on IDEAS

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    1. L. Yang & R. Tschernig, 1999. "Multivariate bandwidth selection for local linear regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 793-815.
    2. Unknown, 2001. "General Discussion," Proceedings of the 6th Agricultural and Food Policy Systems Information Workshop, 2000: Trade Liberalization Under NAFTA: Report Card on Agriculture 16839, Farm Foundation, Agricultural and Food Policy Systems Information Workshops.
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