LOCAL POLYNOMIAL DERIVATIVE ESTIMATION: ANALYTIC OR TAYLOR?

Abstract. Local polynomial regression is extremely popular in applied settings. Recent developments in shape constrained nonparametric regression allow practitioners to impose constraints on local polynomial estimators thereby ensuring that the resulting estimates are consistent with underlying theory. However, it turns out that local polynomial derivative estimates may fail to coincide with the analytic derivative of the local polynomial regression estimate which can be problematic, particularly in the context of shape constrained estima-tion. In such cases practitioners might prefer to instead use analytic derivatives along the lines of those proposed in the local constant setting by Rilstone & Ullah (1989). Demon-strations and applications are considered. 1