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Modifying the double smoothing bandwidth selector in nonparametric regression

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  • Beran, Jan
  • Feng, Yuanhua
  • Heiler, Siegfried

Abstract

In this paper a modified double smoothing bandwidth selector, ^h MDS , based on a new criterion, which combines the plug-in and the double smoothing ideas, is proposed. A self-complete iterative double smoothing rule (^h_IDS ) is introduced as a pilot method. The asymptotic properties of both ^h_IDS and ^h_MDS are investigated. It is shown that ^ h MDS performs asymptotically very well. Moreover, it is asymptotically negatively correlated with h ASE , the minimizer of the averaged squared error. The asymptotic performances of ^h_MDS and of the iterative plug-in method, ^h_IPL (Gasser et al., 1991) are compared. A comparative simulation study is carried out to show the practical perfor- mance of ^h_MDS and related methods. It is shown that ^h_MDS seems to be the best in the practice. Finite sample negative correlations between the chosen bandwidth selectors and h ASE are also studied.

Suggested Citation

  • Beran, Jan & Feng, Yuanhua & Heiler, Siegfried, 2000. "Modifying the double smoothing bandwidth selector in nonparametric regression," CoFE Discussion Papers 00/37, University of Konstanz, Center of Finance and Econometrics (CoFE).
    • Handle: RePEc:zbw:cofedp:0037
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    References listed on IDEAS

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    1. Beran, Jan, 1999. "SEMIFAR Models - A Semiparametric Framework for Modelling Trends, Long Range Dependence and Nonstationarity," CoFE Discussion Papers 99/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Beran, Jan & Feng, Yuanhua, 2000. "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Papers 00/16, University of Konstanz, Center of Finance and Econometrics (CoFE).
    3. HÄRDLE, Wolfgang & HALL, Peter & MARRON, Steve, 1992. "Regression smoothing parameters that are not far from their optimum," LIDAM Reprints CORE 978, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    Cited by:

    1. Beran, Jan & Feng, Yuanhua, 2002. "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers 02/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    2. Feng, Yuanhua, 2002. "An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series," CoFE Discussion Papers 02/04, University of Konstanz, Center of Finance and Econometrics (CoFE).

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