OPTIMAL BANDWIDTH CHOICE FOR ESTIMATION OF INVERSE CONDITIONAL–DENSITY–WEIGHTED EXPECTATIONS
逆条件密度加权期望估计的最优带宽选择
This paper characterizes the bandwidth value ( h ) that is optimal for estimating parameters of the form $\eta \, = \,E\left[ {\omega /f_{V|U} \left({V|U} \right)} \right]$ , where the conditional density of a scalar continuous random variable V , given a random vector U , $f_{V|U} $ , is replaced by its kernel estimator. That is, the parameter η is the expectation of ω inversely weighted by $f_{V|U} $ , and it is the building block of various semiparametric…