Monte Carlo methods for nonparametric regression with heteroscedastic measurement error.

Abstract

Nonparametric regression is a fundamental problem in statistics but challenging when the independent variable is measured with error. Among the first approaches was an extension of deconvoluting kernel density estimators for homescedastic measurement error. The main contribution of this article is to propose a new simulation-based nonparametric regression estimator for the heteroscedastic measurement error case. Similar to some earlier proposals, our estimator is built on principles underlying deconvoluting kernel density estimators. However, the proposed estimation procedure uses Monte Carlo methods for estimating nonlinear functions of a normal mean, which is different than any previous estimator. We show that the estimator has desirable operating characteristics in both large and small samples and apply the method to a study of benzene exposure in Chinese factory workers.