𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Asymptotic Variance of the Continuous-Time Kernel Estimator with Applications to Bandwidth Selection

✍ Scribed by M. Sköld

Book ID
110362503
Publisher
Springer Netherlands
Year
2001
Tongue
English
Weight
147 KB
Volume
4
Category
Article
ISSN
1387-0874

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Estimation of the Asymptotic Variance of
Estimation of the Asymptotic Variance of Kernel Density Estimators for Continuous Time Processes
✍ Armelle Guillou; Florence Merlevède 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 196 KB

In order to construct confidence sets for a marginal density f of a strictly stationary continuous time process observed over the time interval [0, T ], it is necessary to have at one's disposal a Central Limit Theorem for the kernel density estimator f T . In this paper we address the question of n

Asymptotically optimal bandwidth selecti
Asymptotically optimal bandwidth selection rules for the kernel density estimator with dependent observations
✍ Tae Yoon Kim 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 869 KB

With mild restrictions placed on the kernel, kernel estimates of an unknown multivariatc density are investigated when the observed data are dependent. A modified cross validation rule, the simple 'leave-(2P + 1)-o&' version of simple cross validation, is considered for bandwidth selection. Under th

On the asymptotic behaviour of the integ
On the asymptotic behaviour of the integrated square error of kernel density estimators with data-dependent bandwidth
✍ Carlos Tenreiro 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 131 KB

In this paper, we consider the integrated square error Jn = { f n (x) -f(x)} 2 d x; where f is the common density function of the independent and identically distributed random vectors X1; : : : ; Xn and f n is the kernel estimator with a data-dependent bandwidth. Using the approach introduced by Ha