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## The best bandwidth pair decided by 3-fold CV is: 0.2288 0.4249

I think I didn’t find a proper \(\boldsymbol{\hat{\alpha}}\). The initial used for \(\boldsymbol{\alpha}\) is a normalized vector drawn from \(\operatorname{N}(0,1)\). It seems that the \(\boldsymbol{\hat{\alpha}}\) may stays at the neighborhood of its initial, thus didn’t have good fitting result for surface of link function. I also use 5 random initials and compare the angle between their corresponding \(\boldsymbol{\hat{\alpha}}\), I found these \(\boldsymbol{\hat{\alpha}}\) are quite orthogonal to each other. Therefore, I suspect that \(\boldsymbol{\alpha}\) was not properly estimated.

Pointwise mean of drought score in 2000-2006, divided by state