Bandwidth Choice for Nonparametric Regression

作者：John Rice · 发表于：The Annals of Statistics · 年份：1984 · DOI：10.1214/aos/1176346788 · 被引用次数：698 · 研究领域：Statistical Methods and Inference、Control Systems and Identification、Statistical and numerical algorithms

This paper is concerned with the problem of choosing a bandwidth parameter for nonparametric regression. We analyze a tapered Fourier series estimate and discuss the relationship of this estimate to a kernel estimate. We first consider a method based on an unbiased estimate of mean square error, and show that the bandwidth thus chosen is asymptotically optimal. Other methods are examined as well and are shown to be asymptotically equivalent. A small simulation shows, however, that for small or moderate sample size, the methods perform quite differently.