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A Review and Comparison of Bandwidth Selection Methods for Kernel Regression
Authors:Max Köhler  Anja Schindler  Stefan Sperlich
Affiliation:1. Faculty of Economic Sciences, Georg‐August Universit?t G?ttingen, , Platz der G?ttinger Sieben 5, D‐37073, G?ttingen, Germany;2. Dép. des Sciences économiques and Research Center for Statistics, Université de Genève, , 40 Bd du Pont d'Arve, CH‐1211, Genève, Switzerland
Abstract:Over the last decades, several methods for selecting the bandwidth have been introduced in kernel regression. They differ quite a bit, and although there already exist more selection methods than for any other regression smoother, one can still observe coming up new ones. Given the need of automatic data‐driven bandwidth selectors for applied statistics, this review is intended to explain and, above all, compare these methods. About 20 different selection methods have been revised, implemented and compared in an extensive simulation study.
Keywords:Kernel regression  bandwidth selection  plug‐in  cross‐validation
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