Smooth Location-Dependent Bandwidth Selection for Local Polynomial Regression
局部多项式回归的平滑位置依赖带宽选择
A bandwidth function for local polynomial models is commonly obtained by optimizing a pointwise penalty criterion, such as an estimated mean squared error (MSE), over a grid of predictor locations. A resultant regression estimate may suffer from irregularities, such as discontinuities, and contextual information over nearby predictor locations is not used. To mediate these difficulties, ad hoc postprocessing is sometimes carried out in the form of smoothing of the penalty…