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I'm working with the Nadaraya Watson estimator and calculate the optimal bandwidth h with leave one out cross validation.

Now I'd like to get the variance of h (not the variance of the NW estimator). Is this possible? Can anyone recommend literature?

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h is bandwidth and a single value(for uni-variate case). How it is possible to calculate a variance of a single value? Even for multivariate case, bandwidth is single for every input variable. Suppose you have 5 variable so you got 5 bandwidths but every bandwidth is for each variable.

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  • $\begingroup$ Meanwhile i found a Bayesian approach where you use the Metropolis Hastings algorithm. With this approach you can get a variance (and intervals). $\endgroup$ – To Mate Sep 23 '18 at 6:22
  • $\begingroup$ Bayesian approach for what? To calculate bandwidth or in NW..........??? $\endgroup$ – Angel Sep 23 '18 at 6:25

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