Yao, Q.W. and Tong, H.W. (1998) Cross-validatory bandwidth selections for regression estimation based on dependent data. Journal of Statistical Planning and Inference, 68 (2). pp. 387-415. ISSN 0378-3758.
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We suggest a simple and fast method to determine the bandwidth in kernel regression. The method can be viewed as a generalized cross-validation. We have proved asymptotic optimality of the proposed bandwidth selector under the assumption that the observations are strictly stationary and rho-mixing. Simulation has been conducted to compare the performance of various cross-validation bandwidth selectors applied to dependent data, which shows that the ordinary cross-validation method is quite stable in regression estimation with random design even when the data are highly correlated.
|Uncontrolled keywords:||bandwidth; cross-validation; kernel estimation; locally linear regression; rho-mixing|
|Subjects:||Q Science > QA Mathematics (inc Computing science) > QA273 Probabilities|
|Depositing User:||Tara Puri|
|Date Deposited:||24 Mar 2009 11:12|
|Last Modified:||24 Mar 2009 11:12|
|Resource URI:||http://kar.kent.ac.uk/id/eprint/17289 (The current URI for this page, for reference purposes)|
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