Local linear kernel estimation of the discontinuous regression function |
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Authors: | I R Sánchez-Borrego M D Martínez-Miranda A González-Carmona |
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Institution: | 1. Departamento de Estadística e Investigación Operativa, Facultad de Ciencias, Universidad de Granada, Campus de Fuentenueva, s/n, 18071, Granada, Spain
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Abstract: | We address the problems of estimating the discontinuous regression function and also its jump points. We propose a method in two steps: we first estimate the jumps and finally the regression function is estimated by an adapted version of a local linear smoother which makes use of the estimated jumps. The practical performance of the proposed method is evaluated by using simulation studies and an application to a real-life problem. |
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