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Un choix de fenêtre optimal en estimation polynomiale locale de la fonction de répartition conditionnelle

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Title: Un choix de fenêtre optimal en estimation polynomiale locale de la fonction de répartition conditionnelle
Alternate Title: An optimal choice for the bandwidth parameter in local polynomial estimation of the conditional distribution function
Authors: Ferrigno, Sandie1 Sandie.Ferrigno@iecn.u-nancy.fr, Ducharme, Gilles R.2 ducharme@math.univ-montp2.fr
Source: Comptes Rendus. Mathématique. Jan2008, Vol. 346 Issue 1/2, p83-86. 4p.
Subjects: Bandwidths, Distribution (Probability theory), Asymptotic theory in estimation theory, Polynomials, Characteristic functions
Abstract (English): Abstract: We propose an optimal choice for the bandwidth parameter used in the local polynomial estimation of the conditional distribution function. This choice is approximated by the bandwidth which minimizes the asymptotic weighted mean integrated squared error (MISE). To cite this article: S. Ferrigno, G.R. Ducharme, C. R. Acad. Sci. Paris, Ser. I 346 (2008). [Copyright &y& Elsevier]
Abstract (French): Résumé: Nous proposons un critère de choix optimal pour la fenêtre d''''ajustement utilisée pour l''''estimation polynomiale locale de la fonction de répartition conditionnelle. Ce critère est basé sur la minimisation de l''''expression asymptotique de l''''erreur quadratique moyenne intégrée pondérée. Pour citer cet article : S. Ferrigno, G.R. Ducharme, C. R. Acad. Sci. Paris, Ser. I 346 (2008).
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Database: Engineering Source
Description
Abstract:Abstract: We propose an optimal choice for the bandwidth parameter used in the local polynomial estimation of the conditional distribution function. This choice is approximated by the bandwidth which minimizes the asymptotic weighted mean integrated squared error (MISE). To cite this article: S. Ferrigno, G.R. Ducharme, C. R. Acad. Sci. Paris, Ser. I 346 (2008). [Copyright &y& Elsevier]
ISSN:1631073X
DOI:10.1016/j.crma.2007.11.026