Nonparametric Estimation of Regression Functions In the Presence of Irrelevant Regressors
2005/07/05
研討會日期 : 2005-07-05
時間 : 15:00
主講人 : Prof. Qi Li
地點 : B棟110室
演講者簡介 : Prof. Qi Li 為Ph.D. ，Texas A&M University (1991)。
現為Hugh Roy Cullen Professor in Liberal Arts，Texas A&M University。
其主要研究領域為Econometrics。
演講摘要 : In this paper we consider a nonparametric regression model which admits a mix of continuous and discrete regressors, some of which may in fact be redundant (i.e. irrelevant). We show that, asymptotically, a data-driven least squares cross-validation method can remove these irrelevant regressors. Simulations reveal that this `automatic dimensionality reduction' feature is very effective in finite-sample settings, while an application to modeling strike volume suggests that the method performs well in applied settings.
