Gradient-based bandwidth selection for estimating average derivatives

DOI10.1016/J.ECONLET.2015.12.005MaRDI QIDQ1668136zbMATH OpenOpenAlexFDO

Authors Cong Li, Yanfei Wang

Publication date 3 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.12.005

zbMATH Keywords

kernel smoothingoptimal bandwidth selectionaverage derivatives estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3874417 (Why is no real title available?)
• scientific article; zbMATH DE number 739534 (Why is no real title available?)
• scientific article; zbMATH DE number 854954 (Why is no real title available?)
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• Design-adaptive Nonparametric Regression
• Efficiency of Weighted Average Derivative Estimators and Index Models
• Empirical-Bias Bandwidths for Local Polynomial Nonparametric Regression and Density Estimation
• Gradient-based smoothing parameter selection for nonparametric regression estimation
• Investigating Smooth Multiple Regression by the Method of Average Derivatives
• Local linear regression smoothers and their minimax efficiencies
• Locally-weighted regression: an approach to regression analysis by local fitting
• Multivariate local polynomial regression for estimating average derivatives
• Multivariate locally weighted least squares regression
• Nonparametric Hypothesis Testing with Parametric Rates of Convergence
• Nonparametric estimation of response coefficients
• Nonparametric/semiparametric estimation and testing of econometric models with data dependent smoothing parameters
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Semiparametric Estimation of Index Coefficients
• Variable bandwidth and local linear regression smoothers

Cited in

(7)

• Computation and application of robust data-driven bandwidth selection for gradient function estimation
• Nonparametric estimation of single-index models in scale-space
• Bandwidth Choice for Average Derivative Estimation
• How sensitive are average derivatives?
• Robust data-driven inference for density-weighted average derivatives
• Smoothness adaptive average derivative estimation
• A critical review of univariate non-parametric estimation of first derivatives

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