Fast Computation of Auxiliary Quantities in Local Polynomial Regression |
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| Authors: | B. A. Turlach M. P. Wand |
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| Affiliation: | 1. Centre for Mathematics and its Applications, Australian National University , Canberra , 2601 , Australia;2. Australian Graduate School of Management, University of New South Wales , Sydney , 2052 , Australia |
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| Abstract: | Abstract We investigate the extension of binning methodology to fast computation of several auxiliary quantities that arise in local polynomial smoothing. Examples include degrees of freedom measures, cross-validation functions, variance estimates, and exact measures of error. It is shown that the computational effort required for such approximations is of the same order of magnitude as that required for a binned local polynomial smooth. |
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| Keywords: | Binning Cross-validation Error degrees of freedom Kernel estimator Linear smoother Mean average squared error Smoother matrix Standard error |
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