Asymptotic distribution of bandwidth selectors in kernel regression estimation
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.
KeywordsNonparametric Regression Kernel Estimator Optimal Bandwidth Bandwidth Selection Epanechnikov Kernel
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