Contribution to the bandwidth choice for kernel density estimates

DOI10.1007/S00180-007-0020-9MaRDI QIDQ2271691zbMATH OpenOpenAlexFDO

Authors Ivanka Horová, Jiří Zelinka

Publication date 8 August 2009

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-007-0020-9

zbMATH Keywords

cross validation iterative bandwidth selection oversmoothing

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Density estimation (62G07)

Review text

The authors propose a new technique of bandwidth selection for univariate kernel density estimates \(\hat f_{h,K}\) as solutions to the equation \[ h=(2nk)^{-1}\left (V(K)/\int(\text{bias}\;\hat f_{h,K})^2dx\right), \] where \(n\) is the sample size, \(k\) is the order of the kernel \(K\), \(V(K)=\int K^2(x)dx\), and \[ \text{bias}\;\hat f_{h,K}=\int \hat f_{h,K}(x-hy)K(y)dy-\hat f_{h,K}(x) \] is an estimate of the bias of \(\hat f_{h,K}\). The equation is solved iteratively using the Steffensen acceleration method. Results of simulations are presented.

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KernSmooth

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