Optimal bandwidth selection in kernel density estimation for continuous time dependent processes

Khadijetou El Heda and Djamal Louani

Statistics & Probability Letters, 2018, vol. 138, issue C, 9-19

Abstract: The choice of the smoothing parameter in nonparametric function estimation is of major concern. The estimation accuracy highly depends on how such a choice is performed. In this paper, we construct a bandwidth selection procedure pertaining to the kernel density estimation when a continuous time dependent and stationary process is considered.

Keywords: Stationary process; Continuous time process; Density estimation; Ergodicity; Kernel estimator; Bandwidth (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2018.02.001

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