The Annals of Statistics

Some Stabilized Bandwidth Selectors for Nonparametric Regression

Shean-Tsong Chiu

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Abstract

The problem of bandwidth selection for nonparametric kernel regression is considered. It is well recognized that the classical bandwidth selectors are subject to large sample variation. Due to the large variation, these selectors might not be very useful in practice. Based on the frequency-domain representation of the residual sum of squares (RSS), the source of the variation is pointed out. The observation leads to consideration of a procedure which stabilizes the RSS by modifying the periodogram of the observations. The stabilized bandwidth selectors are obtained by substituting the stabilized RSS for the RSS in the classical selectors. The strong consistency of the stabilized bandwidth estimate is established. For sufficiently smooth regression functions, it is shown that the stabilized bandwidth is asymptotically normal, and the relative convergence rate of the stabilized bandwidth estimate is $T^{-1/2}$ instead of the rate $T^{-1/10}$ of the classical estimates. In a simulation study, it is confirmed that the stabilized selectors perform much better than the classical selectors. The simulation results are consistent with the theoretic results. The article contains the important message that the commonly used cross-validation can be improved substantially. The procedure and the theoretic results are developed for a rather restrictive case. Further studies are required for more general situations.

Article information

Source
Ann. Statist., Volume 19, Number 3 (1991), 1528-1546.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176348260

Digital Object Identifier
doi:10.1214/aos/1176348260

Mathematical Reviews number (MathSciNet)
MR1126336

Zentralblatt MATH identifier
0749.62021

JSTOR
links.jstor.org

Subjects
Primary: 62G99: None of the above, but in this section
Secondary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84] 62E20: Asymptotic distribution theory

Keywords
Nonparametric regression kernel estimate bandwidth selection time series Fourier transform periodogram

Citation

Chiu, Shean-Tsong. Some Stabilized Bandwidth Selectors for Nonparametric Regression. Ann. Statist. 19 (1991), no. 3, 1528--1546. doi:10.1214/aos/1176348260. https://projecteuclid.org/euclid.aos/1176348260


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