Bayesian Bandwidth Estimation in Nonparametric Time-Varying Coefficient Models
非参数时变系数模型中的贝叶斯带宽估计
Bandwidth plays an important role in determining the performance of nonparametric estimators, such as the local constant estimator. In this article, we propose a Bayesian approach to bandwidth estimation for local constant estimators of time-varying coefficients in time series models. We establish a large sample theory for the proposed bandwidth estimator and Bayesian estimators of the unknown parameters involved in the error density. A Monte Carlo simulation study shows…