Bandwidth selection in nonparametric density estimation under dependence: a simulation study

Asymptotic distribution theory in statistics (62E20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

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.

Recommendations

Cited in

(9)

This page was built for publication: Bandwidth selection in nonparametric density estimation under dependence: a simulation study

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1965935)