Recursive and non-recursive regression estimators using Bernstein polynomials

Y. Slaoui, A. Jmaei
Theory of Stochastic Processes
Vol.26 (42), no.1, 2022, pp.60-95
If a regression function has a bounded support, the kernel estimates often exceed the boundaries and are therefore biased on and near these limits. In this paper, we focus on mitigating this boundary problem. We apply Bernstein polynomials and the Robbins-Monro algorithm to construct a non-recursive and recursive regression estimator. We study the asymptotic properties of these estimators, and we compare them with those of the Nadaraya-Watson estimator and the generalized Révész estimator introduced by [21]. In addition, through some simulation studies, we show that our non-recursive estimator has the lowest integrated root mean square error (ISE) in most of the considered cases. Finally, using a set of real data, we demonstrate how our non-recursive and recursive regression estimators can lead to very satisfactory estimates, especially near the boundaries.
DOI: https://doi.org/10.37863/tsp-2899660400-77
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