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On estimating integrated squared spectral density derivatives

Author

Listed:
  • LEE, Y.H.

    (Kangneun University, Hangneung)

  • CHO, S.

    (Seoul National Universitu, Seoul)

  • KIM, W.C.

    (Seoul National University, Seoul)

  • PARK, Byeong

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

Abstract

In this paper robustness properties are studied for kernel density estimators. A plug-in and least squares cross-validation bandwidth selector are considered. In an asymptotic analysis and in a simulation study it is shown that the robustness of kernel density estimates depends strongly on the chosen bandwidth selector.

Suggested Citation

  • LEE, Y.H. & CHO, S. & KIM, W.C. & PARK, Byeong, 1992. "On estimating integrated squared spectral density derivatives," CORE Discussion Papers 1992025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  • Handle: RePEc:cor:louvco:1992025
    as

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    File URL: https://uclouvain.be/en/research-institutes/immaq/core/dp-1992.html
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    References listed on IDEAS

    as
    1. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
    2. Härdle, Wolfgang & Hart, Jeffrey D., 1992. "A Bootstrap Test for Positive Definiteness of Income Effect Matrices," Econometric Theory, Cambridge University Press, pages 276-292.
    3. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-891, July.
    4. Hall, Peter & Hardle, Wolfgang & Simar, Leopold, 1993. "On the inconsistency of bootstrap distribution estimators," Computational Statistics & Data Analysis, Elsevier, vol. 16(1), pages 11-18, June.
    5. Hardle, Wolfgang & Hildenbrand, Werner & Jerison, Michael, 1991. "Empirical Evidence on the Law of Demand," Econometrica, Econometric Society, pages 1525-1549.
    6. repec:cup:etheor:v:8:y:1992:i:2:p:276-90 is not listed on IDEAS
    7. Hardle, W. & Marron, J. S., 1995. "Fast and simple scatterplot smoothing," Computational Statistics & Data Analysis, Elsevier, vol. 20(1), pages 1-17, July.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    bandwidth; spectral density; kernel estimator;

    JEL classification:

    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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