SMOOTHING IN ADAPTIVE ESTIMATION

被引：7
|
作者：
FARAWAY, JJ
机构：
来源：
ANNALS OF STATISTICS | 1992年 / 20卷 / 01期
关键词：
ADAPTATION; EFFICIENT ESTIMATION; B-SPLINES;
D O I：
10.1214/aos/1176348530
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
An adaptive maximum likelihood estimator based on the estimation of the log-density by B-splines is introduced. A data-driven method of selecting the smoothing parameter involved in the consequent density estimation is demonstrated. A Monte Carlo study is conducted to evaluate the small sample performance of the estimator in a location and a regression problem. The adaptive estimator is seen to compare favorably to some standard estimates. We show that the estimator is asymptotically efficient.
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页码：414 / 427
页数：14
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