Nonparametric Statistics by Patrice Bertail & Delphine Blanke & Pierre-André Cornillon & Eric Matzner-Løber

Author:Patrice Bertail & Delphine Blanke & Pierre-André Cornillon & Eric Matzner-Løber
Language: eng
Format: epub
ISBN: 9783319969411
Publisher: Springer International Publishing

KNN

Subsample (B = 999 replications)

Whole sample

n

b n

Out-of-samp. error

Time

Out-s. err

Time

106

n 1∕3

0.1177

4.79 s

0.1158

5.252 min

n 1∕2

0.1165

5.76 s

(0.008)

n 2∕3

0.1167

43.5 s

107

n 1∕3

0.1166

44.7 s

0.114082

4 h 57 min

n 1∕2

0.1163

50.7 s

(0.006)

n 2∕3

0.1161

15.35 min

Notice that, for this data, the out-of-sample error of the probit model is better (of order 0.050 for both size) : it is because of the way in which the data has been simulated. For real data, these simulations show that it is possible to compare in a reasonable time the out-of-sample errors for several competing methods (with confidence intervals).

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