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Kernel estimate of conditional density: Bandwidth selection for dependent data. (Estimateur à noyau d’une densité conditionelle: Choix de la fenêtre pour des observations dépendantes.) (English) Zbl 0774.62041

Summary: The kernel estimate of conditional density is built from strongly dependent data. A method founded on cross validation is proposed in order to select the bandwidth. Asymptotic optimality of the selected bandwidth is stated.

MSC:

62G07 Density estimation
62G20 Asymptotic properties of nonparametric inference
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