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

DOI10.1080/07474939608800339MaRDI QIDQ4883727zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• Estimation of heteroscedasticity in regression analysis
• Kernel estimation with cross-validation using the fast Fourier transform
• Nonparametric recursive estimation of a multivariate, marginal and conditional dgp with an application to specification of econometric models
• Nonparametric regression analysis of longitudinal data
• Optimal bandwidth selection in nonparametric regression function estimation

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