Reference : Kernel Selection in Nonparametric Regression
Scientific journals : Article
Physical, chemical, mathematical & earth Sciences : Mathematics
Computational Sciences
Kernel Selection in Nonparametric Regression
Halconruy, Hélène mailto [University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH) >]
Marie, Nicolas mailto [Université Paris Nanterre > Modal'X > > Maître de conférences]
Mathematical Methods of Statistics
[en] Kernel selection ; Nonparametric regression ; PCO method
[en] 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.

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