A bandwidth selector for local linear density estimators

• 成果类型: Article
• 署名作者: Cheng, MY
• 署名单位: National Chung Cheng University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1069362735
• 发表日期: 1997
• 页码: 1001-1013
• 关键词: derivatives; regression

摘要

Local linear density estimators achieve automatic boundary corrections and enjoy some typical optimal properties. Proper choice of the smoothing parameters is crucial for their performance. A data-based bandwidth selector is developed in the spirit of plug-in rules. Consistency and asymptotic normality of the selected bandwidth are demonstrated. The bandwidth is very efficient regardless of whether there are non-smooth boundaries in the support of the density or not.