DOI QR코드

DOI QR Code

Bandwidth Selection for Local Smoothing Jump Detector

  • 투고 : 20090900
  • 심사 : 20091100
  • 발행 : 2009.11.30

초록

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.

키워드

참고문헌

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피인용 문헌

  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