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Cross-validation 1 Data-driven bandwidth 1 Heteroscedasticity 1 Local M-estimators 1 Nonparametric regression 1 Robust estimation 1
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Boente, Graciela 1 Ruiz, Marcelo 1 Zamar, Ruben H. 1
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Computational Statistics & Data Analysis 1
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Bandwidth choice for robust nonparametric scale function estimation
Boente, Graciela; Ruiz, Marcelo; Zamar, Ruben H. - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1594-1608
We introduce and compare several robust procedures for bandwidth selection when estimating the variance function. These bandwidth selectors are to be used in combination with the robust scale estimates introduced by Boente et al. (2010a). We consider two different robust cross-validation...
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