A Study on Bandwidth Selection in Density Estimation under Dependence

Tae Yoon Kim and Denis D. Cox

Journal of Multivariate Analysis, 1997, vol. 62, issue 2, 190-203

Abstract: Hart and Vieu proposed a modified cross validation (MCV), the "leave-(2l+1)-out" version of the simple cross validation for bandwidth selection under dependence and established its asymptotic optimality for a certain class ofl. In this article, we investigate the convergence rates of MCV.

Keywords: bandwidth; selection; density; estimation; dependence (search for similar items in EconPapers)
Date: 1997
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