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Exact Asymptotic Errors and Bandwidth Selection for M-estimation under Truncated-Censored and Dependent Data
This work is concerned with the problem of selecting an appropriate bandwidth, for the M-estimator of the robust regression function from left truncated and right censored (LTRC) data, under strong mixing condition. We provide an asymptotic expression for the mean squared error (MSE) of this estimator. As a consequence, a bandwidth selector based on plug-in ideas is introduced. A simulation study is investigated to examine the practical performance of the method.
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