On kernel-based nonlinear regression estimation

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F21%3A00555825" target="_blank" >RIV/67985556:_____/21:00555825 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/67985807:_____/21:00551774

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

On kernel-based nonlinear regression estimation

Popis výsledku v původním jazyce

This paper is devoted to two important kernel-based tools of nonlinear regression: the Nadaraya-Watson estimator, which can be characterized as a successful statistical method in various econometric applications, and regularization networks, which represent machine learning tools very rarely used in econometric modeling. This paper recalls both approaches and describes their common features as well as differences. For the Nadaraya-Watsonestimator, we explain its connection to the conditional expectation of the response variable. Our main contribution is numerical analysis of suitable data with an economic motivation and a comparison of the two nonlinear regression tools. Our computations reveal some tools for the Nadaraya-Watson in R software to be unreliable, others not prepared for a routine usage. On the other hand, the regression modeling by means of regularization networks is much simpler and also turns out to be more reliable in our examples. These also bring unique evidence revealing the need for a careful choice of the parameters of regularization networks

Název v anglickém jazyce

On kernel-based nonlinear regression estimation

Popis výsledku anglicky

This paper is devoted to two important kernel-based tools of nonlinear regression: the Nadaraya-Watson estimator, which can be characterized as a successful statistical method in various econometric applications, and regularization networks, which represent machine learning tools very rarely used in econometric modeling. This paper recalls both approaches and describes their common features as well as differences. For the Nadaraya-Watsonestimator, we explain its connection to the conditional expectation of the response variable. Our main contribution is numerical analysis of suitable data with an economic motivation and a comparison of the two nonlinear regression tools. Our computations reveal some tools for the Nadaraya-Watson in R software to be unreliable, others not prepared for a routine usage. On the other hand, the regression modeling by means of regularization networks is much simpler and also turns out to be more reliable in our examples. These also bring unique evidence revealing the need for a careful choice of the parameters of regularization networks

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

10102 - Applied mathematics

Projekt

<a href="/cs/project/GA21-05325S" target="_blank" >GA21-05325S: Moderní neparametrické metody v ekonometrii</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

The 15th International Days of Statistics and Economics Conference Proceedings

ISBN

978-80-87990-25-4

ISSN

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e-ISSN

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Počet stran výsledku

10

Strana od-do

450-459

Název nakladatele

Melandrium

Místo vydání

Slaný

Místo konání akce

Prague

Datum konání akce

9. 9. 2021

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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