In this paper, the asymptotic optimality of the cross validation bandwidth selector for the local polynomial fitting under strongly mixing dependence is obtained. The asymptotic normality of the bandwidth selected by the cross-validation method is derived, which is an extension of W. Härdle, P. Hall, and J. S. Marron (1988, J. Am. Statist. Assoc.83, 86–101). Copyright © 2002 Elsevier Science (USA). All rights reserved.
CitationXia, Y., & Li, W. K. (2002). Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting. Journal of Multivariate Analysis, 83(2), 265-287. doi: 10.1006/jmva.2001.2048
- Local polynomial fitting
- Nonparametric regression
- Strongly mixing