Choice of kernel order in density estimation (Q1098510): Difference between revisions

The selection of the order, i.e. number of vanishing moments, of the kernel in a kernel density estimator is considered from two points of view. First, theoretical properties are investigated by a mean integrated squared error analysis of the problem. Second, and perhaps more importantly, cross validation is proposed as a practical method of choice, and theoretical backing for this is provided through an asymptotic optimality result.