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The negative correlations between data-determined bandwidths and the optimal bandwidth

Author

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  • Chiu, Shean-Tsong
  • Marron, J. S.

Abstract

In nonparametric kernel regression, most automatically chosen bandwidths are known to have the disturbing property of being negatively correlated with the squared error optimal bandwidth. Fourier analysis method provide insight into the cause of this negative correlation, which is far deeper than previous heuristic explanations. The conclusions are verified by a simulation study.

Suggested Citation

  • Chiu, Shean-Tsong & Marron, J. S., 1990. "The negative correlations between data-determined bandwidths and the optimal bandwidth," Statistics & Probability Letters, Elsevier, vol. 10(2), pages 173-180, July.
    • Handle: RePEc:eee:stapro:v:10:y:1990:i:2:p:173-180
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    Cited by:

    1. Hart, Jeffrey D. & Lee, Cherng-Luen, 2005. "Robustness of one-sided cross-validation to autocorrelation," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 77-96, January.
    2. Ping Zhang, 1993. "On the estimation of prediction errors in linear regression models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 105-111, March.

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