Asymptotic Behavior of Bandwidth Selected by the Cross-Validation Method for Local Polynomial Fitting

In this paper, the asymptotic optimality of the cross validation bandwidth selector for the local polynomial fitting under strongly mixing dependence is obtained. The asymptotic normality of the bandwidth selected by the cross-validation method is derived, which is an extension of W. Härdle, P. Hall, and J. S. Marron (1988, J. Am. Statist. Assoc.83, 86-101).

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Year of publication:	2002
Authors:	Xia, Yingcun ; Li, W. K.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 83.2002, 2, p. 265-287
Publisher:	Elsevier
Keywords:	cross-validation local polynomial fitting nonparametric regression strongly mixing

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

Persistent link: https://www.econbiz.de/10005093841