Abstract
Local linear density estimators achieve automatic boundary corrections and enjoy some typical optimal properties. Proper choice of the smoothing parameters is crucial for their performance. A data-based bandwidth selector is developed in the spirit of plug-in rules. Consistency and asymptotic normality of the selected bandwidth are demonstrated. The bandwidth is very efficient regardless of whether there are non-smooth boundaries in the support of the density or not.
Original language | English |
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Pages (from-to) | 1001-1013 |
Journal | Annals of Statistics |
Volume | 25 |
Issue number | 3 |
DOIs | |
Publication status | Published - Jun 1997 |