[R] Bandwidth selection for kernel regression.

Andreas Klein klein82517 at yahoo.de
Sat Oct 27 16:20:19 CEST 2007

Hello everyone.

I have got a little question on selecting a proper
bandwidth for kernel regression.

As you all know, for bandwidth selection in a
regression case you can use the averaged squared error
as a criterion for goodness of fit, but for some
problems (e.g. the bandwidth h approaches to zero), it
is better to use the cross-validation criterion in
combination with some penalty function (Generalized
Cross-Validation, Shibata's Model Selector, Akaike's
Information Criterion, Rice's T,...).

So my problem:
Has got anyone any idea or a tip, where I can find
some existing R-functions, that satisfy my needs?
Or has anyone any idea how such a function would look
like, for example to compute a bandwidth selection
with the (Generalized) Cross-Validation or Rice's T,
as I mentioned above?

My aim is to fit in a kernel regression to a time
series with the function ksmooth(), but there is still
the bandwidth to select.

Have a nice weekend and thanks a lot.

Andreas Klein.

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