Li, Simar & Zelenyuk对“混合离散和连续数据的广义非参数平滑”的修正

J. Racine
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引用次数: 1

摘要

Li和Racine(2004)提出了一种基于非参数核的方法,用于在存在分类预测因子的情况下进行平滑,作为经典非参数方法的替代方法,该方法将数据分成由分类预测因子的唯一组合定义的子集(“单元格”)。Li, Simar和Zelenyuk(2014)提出了Li和Racine(2004)方法的替代方法,他们声称该方法具有更低的均方误差,并对现有方法进行了推广和改进。然而,这些说法似乎经不起推敲。有几点需要引起实践者的注意,其中有两点特别突出;a) Li et al.(2014)自己的模拟结果显示,他们的估计器比现有的经典“分裂”估计器性能更差,似乎是不可接受的,b) Li et al.(2014)的估计器在均方误差基础上优于Li & Racine(2004)的估计器的说法似乎并非如此。经典的分裂估计器和Li & Racine(2004)的估计器都是一致的,并且可以看到Li & Racine(2004)的估计器仍然是最好的全面执行器。而且,作为一个实际问题,Li等人(2014)的估计器在涉及多项和多个分类预测器的典型设置中并不是一个可行的选择。
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A Correction to 'Generalized Nonparametric Smoothing With Mixed Discrete and Continuous Data' by Li, Simar & Zelenyuk
Li & Racine (2004) have proposed a nonparametric kernel-based method for smoothing in the presence of categorical predictors as an alternative to the classical nonparametric approach that splits the data into subsets (‘cells’) defined by the unique combinations of the categorical predictors. Li, Simar & Zelenyuk (2014) present an alternative to Li & Racine’s (2004) method that they claim possesses lower mean square error and generalizes and improves upon the existing approaches. However, these claims do not appear to withstand scrutiny. A number of points need to be brought to the attention of practitioners, and two in particular stand out; a) Li et al.’s (2014) own simulation results reveal that their estimator performs worse than the existing classical ‘split’ estimator and appears to be inadmissible, and b) the claim that Li et al.’s (2014) estimator dominates that of Li & Racine (2004) on mean square error grounds does not appear to be the case. The classical split estimator and that of Li & Racine (2004) are both consistent, and it will be seen that Li & Racine’s (2004) estimator remains the best all around performer. And, as a practical matter, Li et al.’s (2014) estimator is not a feasible alternative in typical settings involving multinomial and multiple categorical predictors.
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