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Asymptotic Behavior of Bandwidth Selected by the Cross-Validation Method for Local Polynomial Fitting

✍ Scribed by Yingcun Xia; W.K. Li

Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 183 KB
Volume: 83
Category: Article
ISSN: 0047-259X
DOI: 10.1006/jmva.2001.2048

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✦ Synopsis

In this paper, the asymptotic optimality of the cross validation bandwidth selector for the local polynomial fitting under strongly mixing dependence is obtained. The asymptotic normality of the bandwidth selected by the cross-validation method is derived, which is an extension of W.