On estimating integrated squared spectral density derivatives

Y.H. Lee, S. Cho, W.C. Kim and Byeong Park
Additional contact information
Y.H. Lee: Kangneun University, Hangneung
S. Cho: Seoul National Universitu, Seoul
W.C. Kim: Seoul National University, Seoul
Byeong Park: CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium

No 1992025, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: In this paper robustness properties are studied for kernel density estimators. A plug-in and least squares cross-validation bandwidth selector are considered. In an asymptotic analysis and in a simulation study it is shown that the robustness of kernel density estimates depends strongly on the chosen bandwidth selector.

Keywords: bandwidth; spectral density; kernel estimator (search for similar items in EconPapers)
JEL-codes: G20 G35 (search for similar items in EconPapers)
Date: 1992-04-01
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1992025

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