INVESTIGADORES
BOENTE BOENTE Graciela Lina
artículos
Título:
Bandwidth choice for robust nonparametric scale function estimation
Autor/es:
BOENTE, GRACIELA; RUIZ, MARCELO; ZAMAR, RUBÉN
Revista:
COMPUTATIONAL STATISTICS AND DATA ANALYSIS
Editorial:
ELSEVIER SCIENCE BV
Referencias:
Lugar: Amsterdam; Año: 2012 vol. 56 p. 1594 - 1608
ISSN:
0167-9473
Resumen:
We introduce and compare several robust procedures for bandwidth selection when estimating the variance function. These bandwidth selectors are to be used in combination with the robust scale estimates introduced by Boente et al. (2010a). We consider two different robust cross--validation strategies combined with two ways for measuring the cross--validation prediction error. The different proposals are compared with non robust alternatives using Monte Carlo simulation. We also derive some asymptotic results to investigate the large sample performance of the corresponding robust data--driven scale estimators.
