Optimal zone for bandwidth selection in semiparametric models

Jialiang Li, Wenyang Zhang and Zhengxiao Wu

Journal of Nonparametric Statistics, 2011, vol. 23, issue 3, 701-717

Abstract: We study the general problem of bandwidth selection in semiparametric regression. By expanding the higher-order terms in the Taylor series for the asymptotic mean-squared error, we provide a theoretical justification for the earlier empirical observations of an optimal zone of bandwidths in the literature. Based on the idea of cross-validating parametrical estimates, we further introduce a novel bandwidth selector for semiparametric models. The method is demonstrated by numerical studies to be able to preserve the selected bandwidth within the optimal zone. This data-driven cross-validation method may also be applicable for model diagnosis and longitudinal data settings. Examples from two clinical trials are provided to illustrate the applications.

Date: 2011
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DOI: 10.1080/10485252.2010.533768

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