On bandwidth choice for density estimation with dependent data

DOI10.1214/aos/1034713655zbMath0854.62039OpenAlexW2044146343MaRDI QIDQ1922388

Young K. Truong, Hall, Peter, Soumendra Nath Lahiri

Publication date: 1 September 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1034713655

zbMATH Keywords

Gaussian processcross-validationlong-range dependencekernel methodsoptimal bandwidthsdensity estimationmean integrated squared errorshort-range dependencemean squared errorsintegrated squared errorwindow widthempirical bandwidth choiceplug-in empirical bandwidth selectorrange of dependence

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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