The local linear M-estimator with a robust initial estimate

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Title:	The local linear M-estimator with a robust initial estimate
Authors:	Hwang, Ruey-ching;鄧文舜;Deng, Wen-shuenn;Chu, Chih-kang
Contributors:	淡江大學統計學系
Keywords:	local linear estimator;local linear M-estimator;Newton method;nonparametric regression;robust initial estimate;robustness
Date:	2006-12-01
Issue Date:	2009-11-30 12:54:02 (UTC+8)
Publisher:	中國統計學社
Abstract:	In the field of nonparametric regression, the local linear M-estimator (LLM; Fan and Jiang 1999) is proposed to adjust for the unrobustness of the local linear estimator (LLE; Fan 1992, 1993). In practice, the LLM is often computed using Newton method together with an initial estimate produced by the LLE. However, by the unrobustness of the LLE, such initial estimate might be far from the global minimizer of M function. In this case, the Newton method might provide an incorrect solution for the LLM. To improve the drawback, a robust initial estimate for Newton method is proposed. Simulation results show that our robust initial estimate is useful when using Newton method to find a solution for the LLM.
Relation:	中國統計學報 44(4)，頁 382-401
Appears in Collections:	[Graduate Institute & Department of Statistics] Journal Article

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