Bandwidth selection in nonparametric density estimation under dependence: a simulation study (Q1965935): Difference between revisions
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Latest revision as of 06:24, 5 March 2024
scientific article
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English | Bandwidth selection in nonparametric density estimation under dependence: a simulation study |
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Bandwidth selection in nonparametric density estimation under dependence: a simulation study (English)
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2 March 2000
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For kernel density estimators (with Gaussian and Epanechnikov kernels) there are considered methods of data driven bandwidth selection: cross-validation (pseudo-likelihood, least squares, biased and smoothed); plug-in method; non-smoothed and smoothed bootstrap; and double kernel method. The simulated data were drawn from an AR(1) model \(X_t=\rho X_{t-1}+ e_t\), where \(e_t\) are i.i.d. with normal, exponential, double-exponential and Rademacher distributions. A mixture of two normal AR(1) processes and \(X_t=2^{-1} \sum_{k=0}^{j-1} e_{t+k}^2\) are also considered. The mean integrated square and absolute errors (MISE, MIAE) and the mean uniform absolute error (MUAE) are used as measures of the estimators' efficiency. The authors concluded that the smoothed cross-validation and plunging methods present a generally good performance.
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kernel density estimation
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bandwidth selection
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dependent data
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cross-validation
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bootstrap estimation
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