A Bias Correction for Cross-validation Bandwidth Selection when a Kernel Estimate is Based on Dependent Data

DOI10.1111/1467-9892.00237zbMath0973.62033OpenAlexW2162615591MaRDI QIDQ2744937

Martin Sköld

Publication date: 9 October 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00237

zbMATH Keywords

cross-validationkernel estimatemean square integrated error

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Iterative Bias Correction of the Cross-Validation Criterion ⋮ Novel kernel density estimator based on ensemble unbiased cross-validation ⋮ Adaptive sampling schemes for density estimation ⋮ A kernel mode estimate under random left truncation and time series model: asymptotic normality ⋮ Neural networks for bandwidth selection in local linear regression of time series

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