A simple bootstrap bandwidth selector for local polynomial fitting

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Journal of Statistical Computation and Simulation. Taylor & Francis. 2009, 79(12), pp. 1425-1439. ISSN 0094-9655. eISSN 1563-5163. Available under: doi: 10.1080/00949650802352019
Zusammenfassung

A new, fully data-driven bandwidth selector with a double smoothing (DS) bias term and a data-driven variance estimator is developed following the bootstrap idea. The data-driven variance estimation does not involve any additional bandwidth selection. The proposed bandwidth selector convergences faster than a plug-in one due to the DS bias estimate, whereas the data-driven variance improves its finite sample performance clearly and makes it stable. Asymptotic results of the proposals are obtained. A comparative simulation study was done to show the overall gains and the gains obtained by improving either the bias term or the variance estimate, respectively. It is shown that the use of a good variance estimator is more important when the sample size is relatively small.

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ISO 690FENG, Yuanhua, Siegfried HEILER, 2009. A simple bootstrap bandwidth selector for local polynomial fitting. In: Journal of Statistical Computation and Simulation. Taylor & Francis. 2009, 79(12), pp. 1425-1439. ISSN 0094-9655. eISSN 1563-5163. Available under: doi: 10.1080/00949650802352019
BibTex
@article{Feng2009simpl-57988,
  year={2009},
  doi={10.1080/00949650802352019},
  title={A simple bootstrap bandwidth selector for local polynomial fitting},
  number={12},
  volume={79},
  issn={0094-9655},
  journal={Journal of Statistical Computation and Simulation},
  pages={1425--1439},
  author={Feng, Yuanhua and Heiler, Siegfried}
}
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