A Study on Bandwidth Selection in Density Estimation under Dependence

Hart and Vieu proposed a modified cross validation (MCV), the "leave-(2l+1)-out" version of the simple cross validation for bandwidth selection under dependence and established its asymptotic optimality for a certain class ofl. In this article, we investigate the convergence rates of MCV.

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Year of publication:	1997
Authors:	Kim, Tae Yoon ; Cox, Denis D.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 62.1997, 2, p. 190-203
Publisher:	Elsevier
Subject:	bandwidth selection density estimation dependence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153051