Contribution to the bandwidth choice for kernel density estimates
| Authors | |
|---|---|
| Year of publication | 2007 |
| Type | Article in Periodical |
| Magazine / Source | Computational Statistics |
| MU Faculty or unit | |
| Citation | |
| Web | |
| Field | Applied statistics, operation research |
| Keywords | Iterative method Kernel Smoothing parameter |
| Description | In the present paper we focus on the problem of the bandwidth choice for the kernel density estimates. The problem of finding the optimal bandwidth belongs to the crucial problems of the kernel estimates. As a criterion of quality of the estimates the L2 type measure is used. A special iterative method based on a relevant estimation of mean integrated square error given in papers Müller and Wang (Prob. Theor. Relat. Fields 85:523-538, 1990), Jones et al. (Ann. Stat. 19:1919-1932, 1991) is suggested. Moreover the idea of maximal smoothing principle (Terrell in JASA 85:470-477, 1990) is extended to the higher order kernels. A simulation study brings a comparison of the proposed method and the cross-validation method. |
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