Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Bandwidth Selection for Local Smoothing Jump Detector

  • Received : 20090900
  • Accepted : 20091100
  • Published : 2009.11.30
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Abstract

Local smoothing jump detection procedure is a popular method for detecting jump locations and the performance of the jump detector heavily depends on the choice of the bandwidth. However, little work has been done on this issue. In this paper, we propose the bootstrap bandwidth selection method which can be used for any kernel-based or local polynomial-based jump detector. The proposed bandwidth selection method is fully data-adaptive and its performance is evaluated through a simulation study and a real data example.

Keywords

References

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Cited by

  1. Bootstrap Bandwidth Selection Methods for Local Linear Jump Detector vol.19, pp.4, 2012, https://doi.org/10.5351/CKSS.2012.19.4.579