Optimal bandwidth selection for local linear regression

Li-Shan Huang Jianqing Fan

Statistics Theory and Methods mathscidoc:1912.43431

A bandwidth selection method is proposed for local linear regression. Our approach is to combine the ideas of optimal bandwidth selection of Hall et al.(1991) in kernel density estimation, and use of direct bias and variance in Fan and Gijbels (1995) for local linear regression. We show that the bandwidth selector has an optimal relative rate of convergence of n-1/2 with n the sample size.
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  title={Optimal bandwidth selection for local linear regression},
  author={Li-Shan Huang, and Jianqing Fan},
Li-Shan Huang, and Jianqing Fan. Optimal bandwidth selection for local linear regression. 1996. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114358944945991.
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