A simple root n bandwidth selector for nonparametric regression

Arbeitspapier

The problem of selecting bandwidth for nonparametric regression is investigated. The methodology used here is a double-smoothing procedure with data-driven pilot bandwidths. After giving an extension of the asymptotic result of Hardle, Hall and Marron (1992) by transfering the ideas of Jones, Marron and Park (1991) into the context of nonparametric regression, some fast data-driven bandwidth selectors for nonparametric regression are proposed. One of them, hpsi, is root n consistent. The performance of these bandwidth selectors is studied through simulation for local linear regression. They are also compared with the bandwidth selected by R criterion and the true ASE optimal bandwidth (HASE). Though all of them show a satisfactory performance, the root n bandwidth selector turns out to be the best.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Diskussionsbeiträge - Serie II ; No. 286

Classification and Topics

• Classification: Wirtschaft
• Subject: Bandwidth choice ; Double-smoothing ; Plug-in ; Local linear regression ; Schätztheorie ; Zeitreihenanalyse ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Heiler, Siegfried ; Feng, Yuanhua
• Event: Veröffentlichung
• (who): Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft
• (where): Konstanz
• (when): 1995

Further information

• Handle: http://hdl.handle.net/10419/101751
• Last update: 10.03.2025, 11:42 AM CET