Nonparametric Regression as an Example of Model Choice

Nonparametric regression can be considered as a problem of model choice. In this paper we present the results of a simulation study in which several nonparametric regression techniques including wavelets and kernel methods are compared with respect to their behaviour on different test beds. We also include the taut-string method whose aim is not to minimize the distance of an estimator to some "true" generating function f but to provide a simple adequate approximation to the data. Test beds are situations where a "true" generating f exists and in this situation it is possible to compare the estimates of f with f itself. The measures of performance we use are the L2 and the L norms and the ability to identify peaks.

• Type: Journal
• Year: 2008
• Where: CSSC
• Authors: Laurie Davies, Ursula Gather, Henrike Weinert
• Keywords: CSSC 2008, Nonparametric Regression, Nonparametric Regression Techniques, Test Beds