Improving bandwidth selection methods by adding quantitative constraints

DOI10.1007/BF03372106MaRDI QIDQ1775974zbMATH OpenOpenAlexFDO

Authors Andreas Futschik, Bertoin R. Clarke

Publication date 20 May 2005

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf03372106

zbMATH Keywords

bandwidth selectioncross-validationdensity estimationkernel estimationnumber of modes

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Density estimation (62G07) Monte Carlo methods (65C05)

Review text

In the context of kernel density estimation the authors propose to combine automatic bandwidth selection rules aiming at the minimization of a loss criterion with constraints on the search space derived from qualitative considerations. They focus on the cross-validation method of bandwidth and propose to derive constraints on bandwidths from reasonable bounds for the number of modes of the underling density. Theoretical properties of the chosen bounds are given. Results of simulation studies, which demonstrate improvement of the mean integrated squared errors of the kernel density estimation, are discussed.

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Cited in

(5)

• Optimal bandwidth selection for conditional efficiency measures: a data-driven approach
• Best possibility constant for bandwidth selection
• On the consistency of kernel density estimates under modality constraints
• Why bandwidth selectors tend to choose smaller bandwidths, and a remedy
• Comments on a data based bandwidth selector

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