Calibrating the degrees of freedom for automatic data smoothing and effective curve checking

• 成果类型: Article
• 署名作者: Zhang, CM
• 署名单位: University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1198/016214503000000521
• 发表日期: 2003
• 页码: 609-628
• 关键词: generalized cross-validation; varying-coefficient models; Nonparametric Regression; bandwidth selection; spline functions; variance; RISK

摘要

Curve fitting and curve checking based on the local polynomial regression technique are commonly used data-analytic methods in statistics. This article examines, in nonparametric settings, both the asymptotic expressions and empirical formulas for degrees of freedom (DF), a notion introduced by Hastie and Tibshirani, of linear smoothers. The asymptotic results give useful insights into the nonparametric modeling complexity. Meanwhile, by substituting the exact DFs by the empirical formula, an empirical version of the generalized cross-validation (EGCV) is obtained. An automatic bandwidth selection method based on minimizing EGCV is proposed for conducting local smoothing. This procedure preserves full benefits of the ordinary and generalized cross-validation, but offers a substantial reduction in computational burden. Furthermore, the EGCV-minimizing bandwidth can be extended in a very simple manner to fit multivariate models, such as the varying-coefficient models. Applications of calibrating DFs to important inferential issues, such as assessing the validity of useful model assumptions and measuring the significance of predictor variables based on the generalized likelihood ratio statistics are also discussed. Simulation studies are presented to illustrate the performance of the proposed procedures in a range of statistical problems.