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Regression estimation by local polynomial fitting for multivariate data streams

Author

Listed:
  • Aboubacar Amiri

    (Université Lille 3, LEM-CNRS (UMR 9221), Domaine universitaire du “pont de bois”)

  • Baba Thiam

    (Université Lille 3, LEM-CNRS (UMR 9221), Domaine universitaire du “pont de bois”)

Abstract

In this paper we study a local polynomial estimator of the regression function and its derivatives. We propose a sequential technique based on a multivariate counterpart of the stochastic approximation method for successive experiments for the local polynomial estimation problem. We present our results in a more general context by considering the weakly dependent sequence of stream data, for which we provide an asymptotic bias-variance decomposition of the considered estimator. Additionally, we study the asymptotic normality of the estimator and we provide algorithms for the practical use of the method in data streams framework.

Suggested Citation

  • Aboubacar Amiri & Baba Thiam, 2018. "Regression estimation by local polynomial fitting for multivariate data streams," Statistical Papers, Springer, vol. 59(2), pages 813-843, June.
    • Handle: RePEc:spr:stpapr:v:59:y:2018:i:2:d:10.1007_s00362-016-0791-6
    DOI: 10.1007/s00362-016-0791-6
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    References listed on IDEAS

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    1. Han-Ying Liang & Jong-Il Baek, 2016. "Asymptotic normality of conditional density estimation with left-truncated and dependent data," Statistical Papers, Springer, vol. 57(1), pages 1-20, March.
    2. Aboubacar Amiri, 2012. "Recursive regression estimators with application to nonparametric prediction," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(1), pages 169-186.
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    4. Jingping Gu & Qi Li & Jui-Chung Yang, 2015. "Multivariate Local Polynomial Kernel Estimators: Leading Bias and Asymptotic Distribution," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 979-1010, December.
    5. Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
    6. Amiri, Aboubacar & Crambes, Christophe & Thiam, Baba, 2014. "Recursive estimation of nonparametric regression with functional covariate," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 154-172.
    7. Jiantao Li & Min Zheng, 2009. "Robust estimation of multivariate regression model," Statistical Papers, Springer, vol. 50(1), pages 81-100, January.
    8. Paul Doukhan & Sana Louhichi, 2001. "Functional Estimation of a Density Under a New Weak Dependence Condition," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(2), pages 325-341, June.
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