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A Study on Bandwidth Selection in Density Estimation under Dependence

โœ Scribed by Tae Yoon Kim; Denis D. Cox

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
304 KB
Volume
62
Category
Article
ISSN
0047-259X

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โœฆ Synopsis

Hart and Vieu proposed a modified cross validation (MCV), the ``leave-(2l+1)out'' version of the simple cross validation for bandwidth selection under dependence and established its asymptotic optimality for a certain class of l. In this article, we investigate the convergence rates of MCV.

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## Abstract Nonparametric estimation of the distribution function of the annual maxima (AM) flood series is considered. In practice, the good behaviour of the nonparametric estimators depends heavily on the smoothing parameter or bandwidth. Nowadays, there exist only two (optimal under a mathematic