h_GenROT {locpolExpectile} | R Documentation |
Rule-of-Thumb bandwidth selectors
Description
General Rule-of-Thumb bandwidth selector for univariate expectile regression
proposed by Adam and Gijbels (2021a) see Formula (24). The weight function k_0(x)
is chosen to be equal to the indicator function on [min(X_i)+0.1,max(X_i)-0.1]
.
Usage
h_GenROT(X, Y, j = 0, p = 1, kernel = gaussK, omega)
compDerEst_exp(X, Y, p, omega)
Arguments
X |
The covariate data values. |
Y |
The response data values. |
j |
The order of derivative to estimate. In default setting, |
p |
The order of the local polynomial estimator. In default setting,
|
kernel |
The kernel used to perform the estimation. In default setting,
|
omega |
Numeric vector of level between 0 and 1 where 0.5 corresponds to the mean. |
Value
h_GenROT
provides the general Rule-of-Thumb bandwidth selector
for the expectile regression proposed by Adam and Gijbels (2021a).
compDerEst_exp
returns a data frame whose
components are:
-
X
The covariate data values. -
Y
The response data values. -
fit
The fitted values for the parametric estimation (leading to the Rule-of-Thumb expression). -
der
The derivative estimation atX
values.
References
Adam, C. and Gijbels, I. (2021a). Local polynomial expectile regression. Annals of the Institute of Statistical Mathematics doi:10.1007/s10463-021-00799-y.
Examples
library(locpol)
data(mcycle)
y=mcycle$accel
x=mcycle$times
h=h_GenROT(X=x,Y=y,j=0,p=1,kernel=gaussK,omega=0.1)
#h=1.887636