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CSDA
2006

Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression: A possible approach

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Bandwidth selection for a class of difference-based variance estimators in the nonparametric regression: A possible approach
A possible approach to bandwidth selection for difference-based variance estimators in the nonparametric regression is proposed. The approach is based on the crossvalidation-type idea modified for the case of correlated data. The method is compared to an alternative plug-in style method. Difficulties in implementing the latter are highlighted and it is argued that the proposed method represents a better alternative. Simulations for several models are given that illustrate good practical performance of the proposed method.
M. Levine
Added 11 Dec 2010
Updated 11 Dec 2010
Type Journal
Year 2006
Where CSDA
Authors M. Levine
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