Cheng, Tingting; Gao, Jiti; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2014
Since conventional cross-validation bandwidth selection methods do not work for the case where the data considered are … serially dependent, alternative bandwidth selection methods are needed. In recent years, Bayesian based global bandwidth … selection methods have been proposed. Our experience shows that the use of a global bandwidth is however less suitable than …