Contribution to the bandwidth choice for kernel density estimates

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Authors

HOROVÁ Ivanka ZELINKA Jiří

Year of publication 2007
Type Article in Periodical
Magazine / Source Computational Statistics
MU Faculty or unit

Faculty of Science

Citation
Web
Field Applied statistics, operation research
Keywords Iterative method Kernel Smoothing parameter
Description In the present paper we focus on the problem of the bandwidth choice for the kernel density estimates. The problem of finding the optimal bandwidth belongs to the crucial problems of the kernel estimates. As a criterion of quality of the estimates the L2 type measure is used. A special iterative method based on a relevant estimation of mean integrated square error given in papers Müller and Wang (Prob. Theor. Relat. Fields 85:523-538, 1990), Jones et al. (Ann. Stat. 19:1919-1932, 1991) is suggested. Moreover the idea of maximal smoothing principle (Terrell in JASA 85:470-477, 1990) is extended to the higher order kernels. A simulation study brings a comparison of the proposed method and the cross-validation method.
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