Lecture7 Slide - The Department of Statistics and Applied Probability ...
Lecture7 Slide - The Department of Statistics and Applied Probability ...
Lecture7 Slide - The Department of Statistics and Applied Probability ...
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4<br />
Multivariate nonparametric estimation<br />
• Let { Y i , X T i<br />
} n<br />
i=1 = {Y i, X i1 , ..., X id } n i=1<br />
be i.i.d. sample from model<br />
Y = m (X) + σ (X) ε, X = (X 1 , ..., X d )<br />
where the noise satisfies E (ε|X) = 0, var (ε|X) = 1.<br />
• How to estimate multivariate function m?<br />
• We will discuss Nadaraya-Watson <strong>and</strong> local linear methods.<br />
ST5207 Nonparametric Regression, 10th March 2005