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Asymptotic distribution of bandwidth selectors in kernel regression estimation

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Abstract

Gasser, Kneip and Köhler (1991) proposed a fast and flexible procedure for automatic bandwidth selection in kernel regression estimation. This article describes this method and additionally derives the joint asymptotic normal distribution of this bandwidth selector with the realizationwise optimal bandwidth.

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  1. Fachbereich Mathematik, Technische Hochschule Darmstadt, Schloßgartenstraße 7, D-64289, Darmstadt

    E. Herrmann

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  1. E. Herrmann
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Herrmann, E. Asymptotic distribution of bandwidth selectors in kernel regression estimation. Statistical Papers 35, 17–26 (1994). https://doi.org/10.1007/BF02926396

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  • DOI: https://doi.org/10.1007/BF02926396

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