The negative correlations between data-determined bandwidths and the optimal bandwidth

Shean-Tsong Chiu and J. S. Marron

Statistics & Probability Letters, 1990, vol. 10, issue 2, 173-180

Abstract: In nonparametric kernel regression, most automatically chosen bandwidths are known to have the disturbing property of being negatively correlated with the squared error optimal bandwidth. Fourier analysis method provide insight into the cause of this negative correlation, which is far deeper than previous heuristic explanations. The conclusions are verified by a simulation study.

Keywords: Bandwidth; selection; nonparametric; regression; kernel; estimate; Fourier; transform; periodogram (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (2)

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