On local bootstrap bandwidth choice in kernel density estimation

Ziegler Klaus

Statistics & Risk Modeling, 2006, vol. 24, issue 2, 291-301

Abstract: Under mild regularity conditions, it is shown that bandwidth selection by minimizing the bootstrapped mean squared error (at a point x) leads to a bandwidth of the same form as that obtained by a consistent plug-in procedure. The consequences of this observation for the construction of confidence intervals are also discussed.

Keywords: kernel density estimation; bandwidth selection; plug-in; bootstrapping; mean squared error (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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DOI: 10.1524/stnd.2006.24.2.291

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