Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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A Study on Bandwith Selection Based on ASE for Nonparametric Regression Estimator

  • Published : 2001.03.01
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Abstract

Suppose we observe a set of data (X$_1$,Y$_1$(, …, (X$_{n}$,Y$_{n}$) and use the Nadaraya-Watson regression estimator to estimate m(x)=E(Y│X=x). in this article bandwidth selection problem for the Nadaraya-Watson regression estimator is investigated. In particular cross validation method based on average square error(ASE) is considered. Theoretical results here include a central limit theorem that quantifies convergence rates of the bandwidth selector.tor.

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References

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