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Klaus Ziegler

On local bootstrap bandwidth choice in kernel density estimation

Keywords: kernel density estimation, bandwidth selection, plug-in, bootstrapping, mean squared error

Under mild regularity conditions, it is shown that bandwidth selection by minimizing the bootstrapped mean squared error (at a point x) leads to a bandwidth of the same form as that obtained by a consistent plug-in procedure. The consequences of this observation for the construction of confidence intervals are also discussed.

Statistics & Decisions, Oldenbourg Wissenschaftsverlag

Print ISSN: 0721-2631
Volume: 24, 02/2006
Pages: 291 - 301

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