Implementation of recursive nonparametric kernel estimation and a monte carlo study on its finite sample properties

DOI10.1080/07474939608800339zbMATH Open0885.62047OpenAlexW1996542802MaRDI QIDQ4883727FDOQ4883727

Authors: Anthony Ngerng 

Publication date: 23 April 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939608800339

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zbMATH Keywords

kernel estimationnonparametric regressioncross-validationfinite sample propertiesrecursive estimatorwindow widthplug-in approach

Mathematics Subject Classification ID

Density estimation (62G07) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Estimation of heteroscedasticity in regression analysis
• Title not available (Why is that?)
• Optimal bandwidth selection in nonparametric regression function estimation
• Nonparametric regression analysis of longitudinal data
• Nonparametric recursive estimation of a multivariate, marginal and conditional dgp with an application to specification of econometric models
• Kernel estimation with cross-validation using the fast Fourier transform

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