New bandwidth selection for kernel quantile estimators

DOI10.1155/2012/138450MaRDI QIDQ764427zbMATH OpenOpenAlexWikidataFDO

Authors Ali Alkenani, Keming Yu

Publication date 13 March 2012

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/138450

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Review text

Summary: We propose a cross-validation method suitable for smoothing of kernel quantile estimators. In particular, our proposed method selects the bandwidth parameter, which is known to play a crucial role in kernel smoothing, based on unbiased estimation of a mean integrated squared error curve of which the minimising value determines an optimal bandwidth. This method is shown to lead to asymptotically optimal bandwidth choice and we also provide some general theory on the performance of optimal, data-based methods of bandwidth choice. The numerical performances of the proposed methods are compared in simulations, and the new bandwidth selection is demonstrated to work very well.

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Cites work

• A Smooth Nonparametric Estimator of a Quantile Function
• Estimating densities, quantiles, quantile densities and density quantiles
• scientific article; zbMATH DE number 3789676 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• Kernel Quantile Estimators
• Nonparametric Statistical Data Modeling
• Relative deficiency of kernel type estimators of quantiles

Cited in

(12)

• A note on the asymptotically optimal bandwidth for Nadaraya's quantile estimator
• Improving bandwidth selection methods by adding quantitative constraints
• A plug-in bandwidth selector for nonparametric quantile regression
• Kernel quantile estimator with ICI adaptive bandwidth selection technique
• Kernel Quantile Estimators
• Quantile estimators and covering probabilities
• The data-based choice of bandwidth for kernel quantile estimator of VaR
• An algorithm for optimal bandwidth selection for smooth nonparametric quantile estimation
• Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
• Plug-in bandwidth selection rules for the kernel quantile estimator
• A bootstrap-based bandwidth selection rule for kernel quantile estimators
• A new bias reduction method for kernel extreme quantile function estimation

Describes a project that uses

Uses Software

• KernSmooth

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