Bandwidth plays an important role in determining the performance of local linear estimators. In this paper, we propose … a Bayesian approach to bandwidth selection for local linear estimation of time–varying coefficient time series models … to simultaneously estimate the bandwidths for local linear estimators in the regression function and the bandwidth for …

Bandwidth plays an important role in determining the performance of nonparametric estimators, such as the local … constant estimator. In this paper, we propose a Bayesian approach to bandwidth estimation for local constant estimators of time …-varying coefficients in time series models. We establish a large sample theory for the proposed bandwidth estimator and Bayesian estimators …

We present a local linear estimator with variable bandwidth for multivariate nonparametric regression. We prove its … to obtain practical direct plug-in bandwidth selectors for heteroscedastic regression in one and two dimensions. We show … that the local linear estimator with variable bandwidth has better goodness-of-fit properties than the local linear …