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Optimal grid for Nadaraya-Watson CV bandwidth selection

Is there any rule of thumb or optimization technique for number of grid points for Kernel Regression? I am doing Nadaraya-Watson on 10 years data (2500 daily observations) of Swap rate. While ...
50 views

Nadaraya Watson regression increasing bandwidth

I'm working with the Nadaraya Watson estimator and read the book of Wand and Jones (Kernel Smoothing, 1995) for introduction. On page 117 (for those who have the book) there is written that with ...
72 views

How can I implement univariate Nadaraya-Watson regression for prediction？

How can I implement univariate Nadaraya-Watson regression for prediction？ And what is the $x ,x_i$, and $y_i$? How can I select the $x ,x_i$, and $y_i$？ The sample for prediction and the shape of ...
85 views

Multivariate plug-in bandwidth estimator local constant regression

Has someone good references for multivariate plug-in bandwidth estimators in local constant regression? All I'm finding is for the univaraite case. And is there maybe already an implementation in R? ...
167 views

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)....
56 views

Nonparametric Quantile Regression for AR(1)-ARCH(1) process

I would like to estimate the conditional scale function $(\sigma_\tau(X_t))$ in a QAR-QARCH model represented by: \begin{equation} Y_t = \mu_\tau(X_t) + \sigma_\tau(X_t)\epsilon_t,\, t = 1,2,\ldots \...