Maximal Smoothing

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Authors

ŘEZÁČ Martin

Year of publication 2003
Type Article in Periodical
Magazine / Source Journal of Electrical Engineering
MU Faculty or unit

Faculty of Science

Citation
Field Applied statistics, operation research
Keywords Kernel; density; estimate; bandwidth; maximal smoothing principle
Description Nonparametric density estimates attempt to reconstruct the probability density from which a random sample has come. A large part of the literature on density estimation is concerned with the issue of how to choose the degree of smoothness of the estimate. This paper describes the principle of maximal smoothing. The formula for asymptotically optimal bandwidth $h_f$ with respect to MISE is well-known. This formula depends on $\integral(f^{(k)}(x))^2dx$ reciprocally, where $f$ is an unknown probability density function. Our goal will be to make this integral as small as possible. Then we obtain the upper boundary for the bandwidth. The prsented paper is dealing with this procedure.
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