Kernel Selection in Nonparametric Regression

in Mathematical Methods of Statistics (2021)

In the regression model Y=b(X)+ε, where X has a density f, this paper deals with an oracle inequality for an estimator of bf, involving a kernel in the sense of Lerasle et al. (2016), selected via the PCO ... [more ▼]

In the regression model Y=b(X)+ε, where X has a density f, this paper deals with an oracle inequality for an estimator of bf, involving a kernel in the sense of Lerasle et al. (2016), selected via the PCO method. In addition to the bandwidth selection for kernel-based estimators already studied in Lacour, Massart and Rivoirard (2017) and Comte and Marie (2020), the dimension selection for anisotropic projection estimators of f and bf is covered. [less ▲]