Averaging of density kernel estimators

DOI10.1016/J.SPL.2019.108645MaRDI QIDQ2288799zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 20 January 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.09370

zbMATH Keywords

aggregationbandwidth selectionnonparametric estimation

Mathematics Subject Classification ID

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

Abstract: Averaging provides an alternative to bandwidth selection for density kernel estimation. We propose a procedure to combine linearly several kernel estimators of a density obtained from different, possibly data-driven, bandwidths. The method relies on minimizing an easily tractable approximation of the integrated square error of the combination. It provides, at a small computational cost, a final solution that improves on the initial estimators in most cases. The average estimator is proved to be asymptotically as efficient as the best possible combination (the oracle), with an error term that decreases faster than the minimax rate obtained with separated learning and validation samples. The performances are tested numerically, with results that compare favorably to other existing procedures in terms of mean integrated square errors.

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Cited in

(4)

• Averaging estimators for kernel regressions
• Bagging of density estimators
• Asymptotic properties of parallel Bayesian kernel density estimators
• Density-based averaging -- a new operator for data fusion

Describes a project that uses

Uses Software

• R

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