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On bandwidth selection in partial linear regression models under dependence

✍ Scribed by Germán Aneiros-Pérez

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
144 KB
Volume
57
Category
Article
ISSN
0167-7152

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✍ Tae Yoon Kim; Denis D. Cox 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 304 KB

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.