On large bandwidth matrix values kernel smoothed estimators for multi-index models
Fuente:
arXiv
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2026
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866915832996560896 |
|---|---|
| author | Moriyama, Taku |
| author_facet | Moriyama, Taku |
| contents | The kernel smoothing with large bandwidth values causes oversmoothing or underfitting in general. However, when irrelevant variables are included, the corresponding large bandwidth values are known to have an effect of shrinking them. This study investigates asymptotic properties of the kernel conditional density estimator and the regression estimator with large bandwidth matrix elements for cases of multi-index model. It is clarified that the optimal convergence rate of the estimators depends on not the number of the variables but the effective dimension without eliminating the irrelevant variables. Thus, the kernel conditional density estimator and regression estimator are demonstrated to equip the reduction of the curse of dimensionality by nature. Finite sample performances are investigated by a numerical study, and the bandwidth selection is discussed. Finally a case study on the Boston housing data is provided. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_03763 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | On large bandwidth matrix values kernel smoothed estimators for multi-index models Moriyama, Taku Statistics Theory The kernel smoothing with large bandwidth values causes oversmoothing or underfitting in general. However, when irrelevant variables are included, the corresponding large bandwidth values are known to have an effect of shrinking them. This study investigates asymptotic properties of the kernel conditional density estimator and the regression estimator with large bandwidth matrix elements for cases of multi-index model. It is clarified that the optimal convergence rate of the estimators depends on not the number of the variables but the effective dimension without eliminating the irrelevant variables. Thus, the kernel conditional density estimator and regression estimator are demonstrated to equip the reduction of the curse of dimensionality by nature. Finite sample performances are investigated by a numerical study, and the bandwidth selection is discussed. Finally a case study on the Boston housing data is provided. |
| title | On large bandwidth matrix values kernel smoothed estimators for multi-index models |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2603.03763 |