Variable Bandwidth Selection in Varying-Coefficient Models

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Shrinkage Estimation of the Varying Coefficient Model (2009, background): “Nevertheless, for a semiparametric model, it involves another type of regularization parameters (i.e., the smoothing parameters) (e.g., the bandwidths); see Zhang and Lee (2007).”
Varying Coefficient Regression Models: A Review and New Developments (2015, background): “Zhang & Lee (2000) and Fan & Zhang (2008) took this approach.”
Statistical Methods with Varying Coefficient Models. (2008, background): “Indeed, Zhang et al. (2002) showed the conditional bias of the estimator â2 given D is of order OP (h(2)), and the conditional covariance matrix of â2 given D is of order OP (n−1) under some regularity conditions.”
Adaptive varying‐coefficient linear models (2003, unknown): “…among others, Cleveland et al. (1992), Hastie and Tibshirani (1993), Carroll et al. (1998), Kauermann and Tutz (1999), Xia and Li (1999a), Zhang and Lee (1999, 2000) and Fan and W. Zhang (1999, 2000) on local multidimensional regression, Ramsay and Silverman (1997) on functional data analysis,…”