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EN FR
CQFD - 2014
Overall Objectives
Application Domains
New Results
Bilateral Contracts and Grants with Industry
Bibliography
Overall Objectives
Application Domains
New Results
Bilateral Contracts and Grants with Industry
Bibliography


Section: New Results

On the asymptotic behavior of the Nadaraya-Watson estimator associated with the recursive SIR method

Participant : Jérôme Saracco.

We investigate the asymptotic behavior of the Nadaraya-Watson estimator for the estimation of the regression function in a semiparametric regression model. On the one hand, we make use of the recursive version of the sliced inverse regression method for the estimation of the unknown parameter of the model. On the other hand, we implement a recursive Nadaraya-Watson procedure for the estimation of the regression function which takes into account the previous estimation of the parameter of the semiparametric regression model. We establish the almost sure convergence as well as the asymptotic normality for our Nadaraya-Watson estimator. We also illustrate our semiparametric estimation procedure on simulated data.

This work is in collaboration with B. Bercu from Bordeaux University and T.M.N Nguyen. It is published in Statistics [20] .