论文信息 - Smearing Estimate: A Nonparametric Retransformation Method

Smearing Estimate: A Nonparametric Retransformation Method

Abstract The smearing estimate is proposed as a nonparametric estimate of the expected response on the untransformed scale after fitting a linear regression model on a transformed scale. The estimate is consistent under mild regularity conditions, and usually attains high efficiency relative to parametric estimates. It can be viewed as a low-premium insurance policy against departures from parametric distributional assumptions. A real-world example of predicting medical expenditures shows that the smearing estimate can outperform parametric estimates even when the parametric assumption is nearly satisfied.

N. Duan

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