Comparison of Two Bandwidth Selectors with Dependent Errors
相关误差下两种带宽选择方法的比较
For nonparametric regression, in the case of dependent observations, cross-validation is known to be severely affected by dependence. This effect is precisely quantified through a limiting distribution for the cross-validated bandwidth. The performance of two methods, the "leave-$(2l + 1)$-out" version of cross-validation and partitioned cross-validation, which adjust for the effect of dependence on bandwidth selection is investigated. The bandwidths produced by these two…