Authors
Han Lin Shang
Publication date
2014/7/3
Journal
Journal of Nonparametric Statistics
Volume
26
Issue
3
Pages
599-615
Publisher
Taylor & Francis
Description
We investigate the issue of bandwidth estimation in a functional nonparametric regression model with function-valued, continuous real-valued and discrete-valued regressors under the framework of unknown error density. Extending from the recent work of Shang [‘Bayesian Bandwidth Estimation for a Nonparametric Functional Regression Model with Unknown Error Density’, Computational Statistics & Data Analysis, 67, 185–198], we approximate the unknown error density by a kernel density estimator of residuals, where the regression function is estimated by the functional Nadaraya–Watson estimator that admits mixed types of regressors. We derive a likelihood and posterior density for the bandwidth parameters under the kernel-form error density, and put forward a Bayesian bandwidth estimation approach that can simultaneously estimate the bandwidths. Simulation studies demonstrated the estimation …
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