Optimal Boundary Kernels and Weightings for Local Polynomial Regression

03/16/2018

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by   Alexander Sidorenko, et al.

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Kernel smoothers are considered near the boundary of the interval. Kernels which minimize the expected mean square error are derived. These kernels are equivalent to using a linear weighting function in the local polynomial regression. It is shown that any kernel estimator that satisfies the moment conditions up to order m is equivalent to a local polynomial regression of order m with some non-negative weight function if and only if the kernel has at most m sign changes. A fast algorithm is proposed for computing the kernel estimate in the boundary region for an arbitrary placement of data points.