K-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables

doi:10.1111/j.1368-423X.2008.00238.x

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	K-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables
	Li, Rui 1; Gong, Guan 2
刊名	ECONOMETRICS JOURNAL
	2008
卷号	11 期号:2 页码:396-408
关键词	k-nearest-neighbour cross-yalidation irrelevant variables simulations
ISSN号	1368-4221
DOI	10.1111/j.1368-423X.2008.00238.x
英文摘要	We show that when estimating a non-parametric regression model, the k-nearest-neighbour non-parametric estimation method has the ability to remove irrelevant variables provided one uses a product weight function with a vector of smoothing parameters, and the least-squares cross-validation method is used to select the smoothing parameters. Simulation results are consistent with our theoretical analysis and show that the performance of the k-nn estimator is comparable to the popular kernel estimator; and it dominates a non-parametric series (spline) estimator when there exist irrelevant regressors.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	BLACKWELL PUBLISHING
WOS记录号	WOS:000257587100009
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2938]
专题	上海财经大学
通讯作者	Li, Rui
作者单位	1.Beijing Univ Aeronaut & Astronaut, Sch Econ & Management, Beijing, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Li, Rui,Gong, Guan. K-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables[J]. ECONOMETRICS JOURNAL,2008,11(2):396-408.
APA	Li, Rui,&Gong, Guan.(2008).K-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables.ECONOMETRICS JOURNAL,11(2),396-408.
MLA	Li, Rui,et al."K-nearest-neighbour non-parametric estimation of regression functions in the presence of irrelevant variables".ECONOMETRICS JOURNAL 11.2(2008):396-408.