Kernel Selection in Nonparametric Regression
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In the regression model Y = b(X) +ε, where X has a density f, this paper deals with an oracle inequality for an estimator of bf, involving a kernel in the sense of Lerasle et al. (2016), selected via the PCO method. In addition to the bandwidth selection for kernel-based estimators already studied in Lacour, Massart and Rivoirard (2017) and Comte and Marie (2020), the dimension selection for anisotropic projection estimators of f and bf is covered.
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