The negative correlations between data-determined bandwidths and the optimal bandwidth

In nonparametric kernel regression, most automatically chosen bandwidths are known to have the disturbing property of being negatively correlated with the squared error optimal bandwidth. Fourier analysis method provide insight into the cause of this negative correlation, which is far deeper than previous heuristic explanations. The conclusions are verified by a simulation study.

MoreLess

Year of publication:	1990
Authors:	Chiu, Shean-Tsong ; Marron, J. S.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 10.1990, 2, p. 173-180
Publisher:	Elsevier
Keywords:	Bandwidth selection nonparametric regression kernel estimate Fourier transform periodogram

More details

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

Persistent link: https://www.econbiz.de/10005223546