Bandwidth Selection in Nonparametric Kernel Testing
AbstractWe propose a sound approach to bandwidth selection in nonparametric kernel testing. The main idea is to find an Edgeworth expansion of the asymptotic distribution of the test concerned. Due to the involvement of a kernel bandwidth in the leading term of the Edgeworth expansion, we are able to establish closedÂ–form expressions to explicitly represent the leading terms of both the size and power functions and then determine how the bandwidth should be chosen according to certain requirements for both the size and power functions. For example, when a significance level is given, we can choose the bandwidth such that the power function is maximized while the size function is controlled by the significance level. Both asymptotic theory and methodology are established. In addition, we develop an easy implementation procedure for the practical realization of the established methodology and illustrate this on two simulated examples and a real data example.
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Bibliographic InfoPaper provided by University of Adelaide, School of Economics in its series School of Economics Working Papers with number 2009-01.
Length: 53 pages
Date of creation: 2009
Date of revision:
choice of bandwidth parameter; Edgeworth expansion; nonparametric kernel testing; power function; size function;
Other versions of this item:
- Gao, Jiti & Gijbels, IrÃ¨ne, 2008. "Bandwidth Selection in Nonparametric Kernel Testing," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1584-1594.
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