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


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. Härdle, P. Hall, and J. S. Marron (1988, J. Am. Statist. Assoc.83, 86-101).cross-validation local polynomial fitting nonparametric regression strongly mixing

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Research Papers in Economics

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Last time updated on 7/6/2012

This paper was published in Research Papers in Economics.

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