Gradient-based bandwidth selection for estimating average derivatives

DOI10.1016/j.econlet.2015.12.005zbMath1398.62312OpenAlexW2231913150MaRDI QIDQ1668136

Yanfei Wang, Cong Li

Publication date: 3 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.12.005

zbMATH Keywords

kernel smoothingoptimal bandwidth selectionaverage derivatives estimation

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20)

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A critical review of univariate non-parametric estimation of first derivatives ⋮ Nonparametric estimation of single-index models in scale-space

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