A bandwidth selector for local linear density estimators
The Annals of Statistics · 1997 · Volume 25 · Issue 3
Abstract
Local linear density estimators achieve automatic boundary corrections and enjoy some typical optimal properties. Proper choice of the smoothing parameters is crucial for their performance. A data-based bandwidth selector is developed in the spirit of plug-in rules. Consistency and asymptotic normality of the selected bandwidth are demonstrated. The bandwidth is very efficient regardless of whether there are non-smooth boundaries in the support of the density or not.
Keywords
62G07, bandwidth, boundary effects, data binning, local linear density estimation, plug-in bandwidth selector
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