Optimal Boundary Kernels and Weightings for Local Polynomial Regression

Alexander Sidorenko; Kurt S. Riedel

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arXiv · 1803.06044

Optimal Boundary Kernels and Weightings for Local Polynomial Regression

Alexander Sidorenko·Kurt S. Riedel

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Abstract

Kernel smoothers are considered near the boundary of the interval. Kernels which minimize the expected mean square error are derived. These kernels are equivalent to using a linear weighting function in the local polynomial regression. It is shown that any kernel estimator that satisfies the moment conditions up to order $m$ is equivalent to a local polynomial regression of order $m$ with some non-negative weight function if and only if the kernel has at most $m$ sign changes. A fast algorithm is proposed for computing the kernel estimate in the boundary region for an arbitrary placement of data points.

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BibTeX RIS

Alexander Sidorenko, Kurt S. Riedel. 2018-03-16. Optimal Boundary Kernels and Weightings for Local Polynomial Regression. https://arxiv.org/abs/1803.06044

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