## 4.4 Regressogram

The regressogram is the adaptation of the histogram to the regression setting. Historically, it has received attention in several applied areas.^{157} This and its connection with the histogram are the reasons for its inclusion in the notes, since its performance to estimate \(m\) is definitely inferior to that of \(\hat{m}(\cdot;p,h)\) (see Figure 4.4). The construction described below can be regarded as the opposite path to the one followed in Sections 2.1–2.2 for constructing the kde from the histogram: now we deconstruct the Nadaraya–Watson estimator to obtain the regressogram.

Based on (4.2), the Nadaraya–Watson estimator was constructed by plugging kdes for the joint density of \((X,Y)\) and the marginal density of \(X\). This resulted in

\[\begin{align} \hat{m}(x;0,h)=\frac{\sum_{i=1}^nK_h(x-X_i)Y_i}{\sum_{i=1}^nK_h(x-X_i)}=\frac{\frac{1}{n}\sum_{i=1}^nK_h(x-X_i)Y_i}{\hat{f}(x;h)},\tag{4.26} \end{align}\]

which clearly emphasizes the connection between the kde \(\hat{f}(x;h)=\frac{1}{n}\sum_{i=1}^nK_h(x-X_i)\) and \(\hat{m}(x;0,h)\). Evidently, this approach gives a smooth estimator for the regression function if the kernels employed in the kde are smooth.

Within (4.26), a possibility is to consider the uniform kernel \(K(z)=\frac{1}{2}1_{\{-1<x<1\}}\) in the kde^{158}, which results in

\[\begin{align} \hat{m}_\mathrm{N}(x;h):=\frac{\sum_{i=1}^n1_{\{X_i-h<x<X_i+h\}}Y_i}{\sum_{i=1}^n1_{\{X_i-h<x<X_i+h\}}}=\frac{1}{|N(x;h)|}\sum_{i\in N(x;h)}Y_i,\tag{4.27} \end{align}\]

where \(N(x;h):=\{i=1,\ldots,n:|X_i-x|<h\}\) is the set of the indexes of the sample within the neighborhood of \(x\) and \(|N(x;h)|\) denotes its size.^{159} Estimator (4.27), a *naive regression estimator*, is precisely the regression analogue of the moving histogram or naive density estimator. Its second expression in (4.27) reveals that it is just a sample mean in different blocks (or neighborhoods) of the data. As a consequence, it is discontinuous.

Another alternative to the kde in (4.26) is to employ the histogram \(\hat{f}_\mathrm{H}(x;t_0,h)=\frac{1}{nh}\sum_{i=1}^n1_{\{X_i\in B_k:x\in B_k\}}\), where \(\{B_k=[t_{k},t_{k+1}):t_k=t_0+hk,k\in\mathbb{Z}\}\) (recall Section 2.1.1). This yields the *regressogram* of \(m\):

\[\begin{align} \hat{m}_\mathrm{R}(x;h):=\frac{\sum_{i=1}^n1_{\{X_i\in B_k\}}Y_i}{\sum_{i=1}^n1_{\{X_i\in B_k\}}}=\frac{1}{|B(k;h)|}\sum_{i\in B(k;h)}Y_i,\quad\text{if }x\in B_k,\tag{4.28} \end{align}\]

where \(B(k;h):=\{i=1,\ldots,n:X_i\in B_k\}\) and \(|B(k;h)|\) stands for its size (denoted by \(v_k\) in Section 2.1.1). The difference of the regressogram with respect to the naive regression estimator is that the former pre-defines fixed bins in which to compute the bin means, producing a final estimator that, for the same bandwidth \(h\), is notably more rigid (it is constant on each bin \(B_k\); see Figure 4.4).

**Exercise 4.16 **Implement in R your own version of the naive regression estimator (4.27). It must be a function that takes as inputs:

- a vector with the evaluation points \(x\),
- a sample \((X_1,Y_1),\ldots,(X_n,Y_n)\),
- a bandwidth \(h\),

and that returns (4.27) evaluated for *each* \(x\). Test the implementation by estimating the regression function \(m(x)=1+x\) for the regression model \(Y=m(X)+\varepsilon\), where \(X\sim\mathcal{N}(0, 1)\) and \(\varepsilon\sim\mathcal{N}(0,2)\) using \(n=50\) observations. This is the setting used in Figure 4.4.

### References

*The Hipparcos and Tycho Catalogues*. Vol. 1200. ESA SP. Noordwijk: ESA Publication Division. https://doi.org/https://www.cosmos.esa.int/web/hipparcos/catalogues.

For example, in astronomy, check Figure 3.2.17 in Vol. 1 in ESA (1997).↩︎

Equivalently, the naive density estimator \(\hat{f}_\mathrm{N}(x;h)=\frac{1}{2nh}\sum_{i=1}^n1_{\{x-h<X_i<x+h\}}\) instead of the kde.↩︎

Observe that (4.27) is defined only for \(x\) such that \(|N(x;h)|>0\). It is perfectly possible to have \(|N(x;h)|=0\) in practice. This does not happen for non-compactly supported kernels, for which \(N(x;h)=\mathbb{R}\) for any \(x\), \(h\), and sample arrangement.↩︎