Bagged CV bandwidth selector for local polynomial kernel regression.

Usage

bagreg(
  x,
  y,
  r,
  s,
  h0,
  h1,
  nb = r,
  ncores = parallel::detectCores(),
  poly.index = 0
)

x: Covariate vector.
y: Response vector.
r: Positive integer. Size of the subsamples.
s: Positive integer. Number of subsamples.
h0: Positive real number. Range over which to minimize, left bound.
h1: Positive real number. Range over which to minimize, right bound.
nb: Positive integer. Number of bins to use in cross-validation.
ncores: Positive integer. Number of cores with which to parallelize the computations.
poly.index: Non-negative integer defining local constant (0) or local linear (1) smoothing. Default value: 0 (Nadaraya-Watson estimator).

Bagged CV bandwidth.

Bagged cross-validation bandwidth selector for local polynomial kernel regression.

set.seed(1)
x <- rnorm(10^5)
y <- 2*x+rnorm(1e5,0,0.5)
bagreg(x, y, 1000, 10, 0.01, 1, 1000, 2)
#> [1] 0.04751349