Asymptotic Behavior of Bandwidth Selected by the Cross-Validation Method for Local Polynomial Fitting

Yingcun Xia and W. K. Li

Journal of Multivariate Analysis, 2002, vol. 83, issue 2, 265-287

Abstract: In this paper, the asymptotic optimality of the cross validation bandwidth selector for the local polynomial fitting under strongly mixing dependence is obtained. The asymptotic normality of the bandwidth selected by the cross-validation method is derived, which is an extension of W. Härdle, P. Hall, and J. S. Marron (1988, J. Am. Statist. Assoc.83, 86-101).

Keywords: cross-validation; local; polynomial; fitting; nonparametric; regression; strongly; mixing (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (19)

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