Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Local Smoothing in R. The goal of this homework is to help you better understand the statistical properties and computational challenges of local smoothing such

image text in transcribed
Local Smoothing in R. The goal of this homework is to help you better understand the statistical properties and computational challenges of local smoothing such as loess, Nadaraya-Watson (NW) kernel smoothing, and spline smoothing. For this purpose, we will compute empirical bias and empirical variances based on m = 1000 Monte Carlo runs, where in each run we simulate a data set of n = 101 observations from the additive model Yi = f(xi) + ci (1) with the famous Mexican hat function f(x) = (1-z?) exp(-0.5x2), -2T Ex - 2n, (2) and 61, . . . , En are independent and identically distributed (iid) N(0, 0.2"). This function is known to pose a variety of estimation challenges, and below we explore the difficulties inherent in this function. (1) Let us first consider the (deterministic fixed) design with equi-distant points in [-27, 2x]. (a) For each of m = 1000 Monte Carlo runs, simulate or generate a data set of the form (mi, Yi)) with ri = 27(-1+2 -) and Y, is from the model in (1). Denote such data set as Dj at the j-th Monte Carlo run for j = 1, . .. , m = 1000. (b) For each data set D, or each Monte Carlo run, compute the three different kinds of local smoothing estimates at every point in Dj: loess (with span = 0.75), Nadaraya- Watson (NW) kernel smoothing with Gaussian Kernel and bandwidth = 0.2, and spline smoothing wit the default tuning parameter. (c) At each point Ti, for each local smoothing method, based on m = 1000 Monte Carlo runs, compute the empirical bias Bias{f(m;)} and the empirical variance Var{f(x.)}, where Bias{f(ri)} Sfo(Ii) - f(xi), i= 1 Var{f(zi) } = 1 m - (d) Plot these quantities against ~; for all three kinds of local smoothing estimators: loess, NW kernel, and spline smoothing. (e) Provide a through analysis of what the plots suggest, e.g., which method is better/worse on bias, variance, and mean square error (MSE)? Do think whether it is fair comparison between these three methods? Why or why not

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access with AI-Powered Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Auditing Cases An Active Learning Approach

Authors: Mark S. Beasley, Frank A. Buckless, Steven M. Glover, Douglas F. Prawitt

2nd Edition

0130674842, 978-0130674845

Students also viewed these Mathematics questions