Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression: A possible approach

被引：22

作者：

Levine, A. ^{[1
]}

机构：

[1] Purdue Univ, Dept Stat, W Lafayette, IN 47907 USA

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2006年 / 50卷 / 12期

关键词：

bandwidth selection; crossvalidation; correlated data;

D O I：

10.1016/j.csda.2005.08.001

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A possible approach to bandwidth selection for difference-based variance estimators in the nonparametric regression is proposed. The approach is based on the crossvalidation-type idea modified for the case of correlated data. The method is compared to an alternative plug-in style method. Difficulties in implementing the latter are highlighted and it is argued that the proposed method represents a better alternative. Simulations for several models are given that illustrate good practical performance of the proposed method. (C) 2005 Elsevier B.V. All rights reserved.

引用

页码：3405 / 3431

页数：27

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