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Bandwidth choice for average derivative estimation. (English) Zbl 0781.62044
Summary: The average derivative is the expected value of the derivative of a regression function. Kernel methods have been proposed as a means of estimating this quantity. The problem of bandwidth selection for these kernel estimators is addressed here. Asymptotic representations are found for the variance and squared bias. These are compared with each other to find an insightful representation for a bandwidth optimizing terms of lower order than \(n^{-1}\). It is interesting that, for dimensions greater than 1, negative kernels have to be used to prevent domination of bias terms in the asymptotic expression of the mean squared error. The extent to which the theoretical conclusions apply in practice is investigated in an economical example related to the so-called “law of demand”.

62G07 Density estimation
65C99 Probabilistic methods, stochastic differential equations
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