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A cross-validatory choice of smoothing parameter in adaptive location estimation

Author

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  • PARK, Byeong

    (Seoul National University, Seoul 151-742, Korea and CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

Abstract

This article proposes a new data-driven method for selecting the smoothing parameter involved in the construction of kernel-based adaptive location estimators. The method consists of minimizing a cross-validatory criterion with respect to the bandwidth occurring in the kemd type estimators of the efficient score function. It is shown that the location estimator with a data-driven bandwidth selector is indeed an adaptive estimator. A simulation study is conducted and it reveals that the method is also practicable, showing that our estimator performs well in comparison with some other well-known location estimators. It also shows that our method has comparable finite sample performance with the bootstrap method of selecting the smoothing parameter, and yet has great computational advantages.

Suggested Citation

  • PARK, Byeong, 1992. "A cross-validatory choice of smoothing parameter in adaptive location estimation," LIDAM Discussion Papers CORE 1992030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvco:1992030
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    File URL: https://sites.uclouvain.be/core/publications/coredp/coredp1992.html
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