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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