Multivariate Plug-in Bandwidth for Local Linear RegressionBy

@inproceedings{Yang1999MultivariatePB,
  title={Multivariate Plug-in Bandwidth for Local Linear RegressionBy},
  author={Lijian Yang and Rolf Tschernig},
  year={1999}
}
Optimal bandwidths for local polynomial regression usually involve functionals of the derivatives of the unknown regression function. In the multivariate case, estimates of these functionals are not readily available, primarily because estimating multivariate derivatives is complicated. In this paper, an estimator of multivariate second derivative is obtained via local quadratic regression with cross terms left out. This estimator has the optimal rate of convergence but is simpler and uses a… CONTINUE READING
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