Asymptotics and optimal bandwidth selection for highest density region estimation
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Publication:973884
Abstract: We study kernel estimation of highest-density regions (HDR). Our main contributions are two-fold. First, we derive a uniform-in-bandwidth asymptotic approximation to a risk that is appropriate for HDR estimation. This approximation is then used to derive a bandwidth selection rule for HDR estimation possessing attractive asymptotic properties. We also present the results of numerical studies that illustrate the benefits of our theory and methodology.
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Cited in
(24)- Optimal subgroup selection
- Continuous record Laplace-based inference about the break date in structural change models
- Asymptotics and optimal bandwidth for nonparametric estimation of density level sets
- Distribution-Free Prediction Sets
- GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS
- Inference for the mode of a log-concave density
- Kernel conditional density estimation when the regressor is valued in a semi-metric space
- Modal clustering asymptotics with applications to bandwidth selection
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- Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
- Smallest covering regions and highest density regions for discrete distributions
- Nonparametric estimation of directional highest density regions
- Bandwidth selection for kernel density estimators of multivariate level sets and highest density regions
- Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions
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- Hypothesis testing based on a vector of statistics
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- Confidence regions for level sets
- Level set estimation
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- Wavelet-based gradient boosting
- Asymptotic properties of plug-in level set estimators for right censored data
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