Nonparametrics

Slides [link]

Outline

• Density estimation
  • bias - variance tradeoff
  • optimal bandwidth
  • cross-validation
  • example: auctions
• Pset 1: Auctions
• Nonparametric regression
  • multivar kernels
  • KNN
  • local linear
• [inference]
• random forests / trees
• semiparametric regression
  • robinson
  • DML

Notes

• Density estimation. If you want to use this to get started with R notebooks, the .Rmd file is here.
• Optional: For those interested, Chris Conlon’s auction notes are here

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Additional material

• Cameron & Trivedi Chapter 9
• ESL Chapter 6
• Aarti Singh slides