FUNCTION ESTIMATION USING DATA-ADAPTIVE KERNEL SMOOTHERS — HOW MUCH SMOOTHING?

K. S. Riedel and A. Sidorenko
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K. S. Riedel: Courant Institute, New York University, 251 Mercer St., New York, NY 10012-1185, USA
A. Sidorenko: Courant Institute, New York University, 251 Mercer St., New York, NY 10012-1185, USA

Chapter 10 in Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar, 1999, pp 255-270 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Bias-Versus-Variance Trade-offLocal Error and Optimal KernelsHow to Select the HalfwidthPlug-in-Derivative Estimates of the Local HalfwidthData-adaptive SmoothingFurther ReadingAcknowledgmentsReferences

Date: 1999
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