Publication details

Selection of bandwidth for kernel regression

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Year of publication 2016
Type Article in Periodical
Magazine / Source Communications in Statistics - Theory and Methods
MU Faculty or unit

Faculty of Science

Field General mathematics
Keywords kernel regression; bandwidth selection; iterative method
Description The most important factor in kernel regression is a choice of a bandwidth. Considerable attention has been paid to extension the idea of an iterative method known for a kernel density estimate to kernel regression. Data-driven selectors of the bandwidth for kernel regression are considered. The proposed method is based on an optimally balanced relation between the integrated variance and the integrated square bias. This approach leads to an iterative quadratically convergent process. The analysis of statistical properties shows the rationale of the proposed method. In order to see statistical properties of this method the consistency is determined. The utility of the method is illustrated through a simulation study and real data applications.
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