Accession Number:

ADA149600

Title:

An Asymptotically Efficient Solution to the Bandwidth Problem of Kernel Density Estimation. Revision.

Descriptive Note:

Technical rept.,

Corporate Author:

NORTH CAROLINA UNIV AT CHAPEL HILL DEPT OF STATISTICS

Personal Author(s):

Report Date:

1984-04-01

Pagination or Media Count:

31.0

Abstract:

A data-driven method of choosing the bandwidth, h, of a kernel density estimator is proposed. It is seen that this means of selecting h is asymptotically equivalent to taken the h that minimizes a certain weighted version of the mean integrated square error. Thus, for a given kernel function, the bandwidth can be chosen optimally without making precise smoothness assumptions on the underlying density. The proposed technique is a modification of cross-validation.

Subject Categories:

  • Numerical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE