We consider a model
yi=g(xi)+εi where
xi is an independent variable and ε
i's are iid random error with mean 0 and variance σ
2. If the regression function
g(x) is smooth enough, then we may have an approximation
g(x)=g(x0)+g'(x0)(x-x0) for
|x-x0|≤h where
h is small enough. Thus, at a given point
x in the range of the independent variable, a locally weighted linear regression estimate
g(x)=αx+βxx sounds very reasonable. However, performance of the estimate depends on
h that determines the amount of smoothing. In this article, a bootstrap method is applied for the choice of the smoothing parameter and also for some distributional problems. Simulation study is carried out for various regression functions.
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