A cross-validatory choice of smoothing parameter in adaptive location estimation

Byeong Park
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Byeong Park: Seoul National University, Seoul 151-742, Korea and CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium

No 1992030, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: This article proposes a new data-driven method for selecting the smoothing parameter involved in the construction of kernel-based adaptive location estimators. The method consists of minimizing a cross-validatory criterion with respect to the bandwidth occurring in the kemd type estimators of the efficient score function. It is shown that the location estimator with a data-driven bandwidth selector is indeed an adaptive estimator. A simulation study is conducted and it reveals that the method is also practicable, showing that our estimator performs well in comparison with some other well-known location estimators. It also shows that our method has comparable finite sample performance with the bootstrap method of selecting the smoothing parameter, and yet has great computational advantages.

Keywords: Data-driven bandwidth selector; Adaptive estimator; Cross-validation; Kernel estimator (search for similar items in EconPapers)
Date: 1992-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1992030

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