# weights_ES2012: Weights W_{ni} of Eichner & Stute (2012) In kader: Kernel Adaptive Density Estimation and Regression

## Description

Function, vectorized in its first argument sigma, to compute the “updated” weights W_{ni} in eq. (2.1) of Eichner & Stute (2012) for the kernel adjusted regression estimator.

## Usage

 1 weights_ES2012(sigma, xXh, thetaXh, K, h) 

## Arguments

 sigma Numeric vector (σ_1, …, σ_s) with s ≥ 1 with values of the scale parameter σ. xXh Numeric vector expecting the pre-computed h-scaled differences (x - X_1)/h, ..., (x - X_n)/h where x is the single (!) location for which the weights are to be computed, the X_i's are the data values, and h is the numeric bandwidth scalar. thetaXh Numeric vector expecting the pre-computed h-scaled differences (θ - X_1)/h, ..., (θ - X_n)/h where θ is the numeric scalar location parameter, and the X_i's and h are as in xXh. K A kernel function (with vectorized in- & output) to be used for the estimator. h Numeric scalar for bandwidth h (as “contained” in thetaXh and xXh).

## Details

Note that it is not immediately obvious that W_{ni} in eq. (2.1) of Eichner & Stute (2012) is a function of σ. In fact, W_{ni} = W_{ni}(x; h, θ, σ) as can be seen on p. 2542 ibid. The computational version implemented here, however, is given in (15.19) of Eichner (2017). Pre-computed (x - X_i)/h and (θ - X_i)/h, i = 1, …, n are expected for efficiency reasons (and are currently prepared in function kare).

## Value

If length(sigma) > 1 a numeric matrix of the dimension length(sigma) by length(xXh) with elements (W_{ni}(x; h, θ, σ_r)) for r = 1, …, length(sigma) and i = 1, …, length(xXh); otherwise a numeric vector of the same length as xXh.

## References

Eichner & Stute (2012) and Eichner (2017): see kader.

## See Also

bias_ES2012 and var_ES2012 which both call this function, and kare which currently does the pre-computing.

## Examples

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 require(stats) # Regression function: m <- function(x, x1 = 0, x2 = 8, a = 0.01, b = 0) { a * (x - x1) * (x - x2)^3 + b } # Note: For a few details on m() see examples in ?nadwat. n <- 100 # Sample size. set.seed(42) # To guarantee reproducibility. X <- runif(n, min = -3, max = 15) # X_1, ..., X_n # Design. Y <- m(X) + rnorm(length(X), sd = 5) # Y_1, ..., Y_n # Response. h <- n^(-1/5) Sigma <- seq(0.01, 10, length = 51) # sigma-grid for minimization. x0 <- 5 # Location at which the estimator of m should be computed. # Weights (W_{ni}(x; \sigma_r))_{1<=r<=length(Sigma), 1<=i<=n} for # Var_n(sigma) and Bias_n(sigma) each at x0 on the sigma-grid: weights_ES2012(sigma = Sigma, xXh = (x0 - X) / h, thetaXh = (mean(X) - X) / h, K = dnorm, h = h) 

kader documentation built on May 1, 2019, 10:13 p.m.