Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/101751 
Erscheinungsjahr: 
1995
Schriftenreihe/Nr.: 
Diskussionsbeiträge - Serie II No. 286
Verlag: 
Universität Konstanz, Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft, Konstanz
Zusammenfassung: 
The problem of selecting bandwidth for nonparametric regression is investigated. The methodology used here is a double-smoothing procedure with data-driven pilot bandwidths. After giving an extension of the asymptotic result of Hardle, Hall and Marron (1992) by transfering the ideas of Jones, Marron and Park (1991) into the context of nonparametric regression, some fast data-driven bandwidth selectors for nonparametric regression are proposed. One of them, hpsi, is root n consistent. The performance of these bandwidth selectors is studied through simulation for local linear regression. They are also compared with the bandwidth selected by R criterion and the true ASE optimal bandwidth (HASE). Though all of them show a satisfactory performance, the root n bandwidth selector turns out to be the best.
Schlagwörter: 
Bandwidth choice
Double-smoothing
Plug-in
Local linear regression
Dokumentart: 
Working Paper

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