Bandwidth choice for nonparametric regression
type: Item
instance of: scholarly article
title: Bandwidth choice for nonparametric regression
zbMATH Open document ID: 0554.62035
author: D. Kharzeev
published in: The Annals of Statistics
publication date: 1984-01-01T00:00:00Z
review text: A modified version of a kernel regression estimator is analyzed with respect to choice of bandwidth. The modification consists of replacing the kernel estimate by a tapered Fourier series estimate which simplifies some technical arguments. It is shown that the bandwidth chosen based on an unbiased estimate of mean square error is asymptotically optimal. Several other methods of bandwidth selection, including cross-validation, are examined and shown to be asymptotically equivalent. However, some simulation results indicate that for small or moderate sample sizes the methods are quite different.
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62J02
Mathematics Subject Classification ID: 62G99
Mathematics Subject Classification ID: 62J99
zbMATH DE Number: 3883415
zbMATH Keywords: kernel regression estimator
zbMATH Keywords: tapered Fourier series estimate
zbMATH Keywords: unbiased estimate of mean square error
zbMATH Keywords: bandwidth selection
zbMATH Keywords: cross-validation
zbMATH Keywords: simulation results
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1176346788
OpenAlex ID: W1976834773
DOI: 10.1214/AOS/1176346788
description: scientific article; zbMATH DE number 3883415