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Bandwidth selection for the local polynomial estimator under dependence: A simulation study

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Summary

Seven of the most popular methods for bandwidth selection in regression estimation are compared by means of a thorough simulation study, when the local polynomial estimator is used and the observations are dependent. The study is completed with two plug-in bandwidths for the generalized local polynomial estimator proposed by Vilar-Fernândez & Francisco-Fernández (2002).

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5 Acknowledgments

The authors wish to thank an Associated Editor and two referees for their helpful comments and suggestions. This work was partially supported by MCyT Grant BFM2002-00265 (European FEDER support included), MEC Grant MTM2005-00429 (ERDF included) and Grant PGIDIT03PXIC10505PN.

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Authors and Affiliations

  1. Departamento de Matemáticas, Facultad de Informática, Universidad de A Coruña, Campus de Elviñia, s/n, 15071, A Coruña, Spain

    Mario Francisco-Fernández & Juan M. Vilar-Fernández

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  1. Mario Francisco-Fernández
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  2. Juan M. Vilar-Fernández
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Francisco-Fernández, M., Vilar-Fernández, J.M. Bandwidth selection for the local polynomial estimator under dependence: A simulation study. Computational Statistics 20, 539–558 (2005). https://doi.org/10.1007/BF02741314

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