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Function Estimation Using Data-Adaptive Kernel Smoothers — How Much Smoothing?

In: Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar

Author

Listed:
  • K. S. RIEDEL

    (Courant Institute, New York University, 251 Mercer St., New York, NY 10012-1185, USA)

  • A. SIDORENKO

    (Courant Institute, New York University, 251 Mercer St., New York, NY 10012-1185, USA)

Abstract

The following sections are included:Bias-Versus-Variance Trade-offLocal Error and Optimal KernelsHow to Select the HalfwidthPlug-in-Derivative Estimates of the Local HalfwidthData-adaptive SmoothingFurther ReadingAcknowledgmentsReferences

Suggested Citation

  • K. S. Riedel & A. Sidorenko, 1999. "Function Estimation Using Data-Adaptive Kernel Smoothers — How Much Smoothing?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar, chapter 10, pages 255-270, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812599_0010
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