Article ID Journal Published Year Pages File Type
10525756 Statistical Methodology 2005 9 Pages PDF
Abstract
The paper compares six smoothers, in terms of mean squared error and bias, when there are multiple predictors and the sample size is relatively small. The focus is on methods that use robust measures of location (primarily a 20% trimmed mean) and where there are four predictors. To add perspective, some methods designed for means are included. The smoothers include the locally weighted (loess) method derived by Cleveland and Devlin [W.S. Cleveland, S.J. Devlin, Locally-weighted regression: an approach to regression analysis by local fitting, Journal of the American Statistical Association 83 (1988) 596-610], a variation of a so-called running interval smoother where distances from a point are measured via a particular group of projections of the data, a running interval smoother where distances are measured based in part using the minimum volume ellipsoid estimator, a generalized additive model based on the running interval smoother, a generalized additive model based on the robust version of the smooth derived by Cleveland [W.S. Cleveland, Robust locally weighted regression and smoothing scatterplots, Journal of the American Statistical Association 74 (1979) 829-836], and a kernel regression method stemming from [J. Fan, Local linear smoothers and their minimax efficiencies, The Annals of Statistics 21 (1993) 196-216]. When the regression surface is a plane, the method stemming from [J. Fan, Local linear smoothers and their minimax efficiencies, The Annals of Statistics 21 (1993) 196-216] was found to dominate, and indeed offers a substantial advantage in various situations, even when the error term has a heavy-tailed distribution. However, if there is curvature, this method can perform poorly compared to the other smooths considered. Now the projection-type smoother used in conjunction with a 20% trimmed mean is recommended with the minimum volume ellipsoid method a close second.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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