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Asymptotic Behavior of Bandwidth Selected by the Cross-Validation Method for Local Polynomial Fitting

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  • Xia, Yingcun
  • Li, W. K.

Abstract

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).

Suggested Citation

  • Xia, Yingcun & Li, W. K., 2002. "Asymptotic Behavior of Bandwidth Selected by the Cross-Validation Method for Local Polynomial Fitting," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 265-287, November.
    • Handle: RePEc:eee:jmvana:v:83:y:2002:i:2:p:265-287
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