Accession Number:

ADA160235

Title:

The Amount of Noise Inherent in Bandwidth Selection for a Kernel Density Estimator.

Descriptive Note:

Technical rept. Sep 84-Aug 85,

Corporate Author:

NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s):

Report Date:

1985-05-01

Pagination or Media Count:

31.0

Abstract:

Any practical method of constructing a bandwidth must depend only on a statistical sample, and should produce some sort of estimate of this bandwidth. The purpose of this paper is to show that there a well-defined limits to the accuracy of all data-driven bandwidth estimates. Put another way, there is an unbridgeable gap between the minimum integrated square error attained using a optimal bandwidth and the minimum achievable integrated square error using a data-driven bandwidth estimate. Additional keywords stochastic processes cross validation and random variables.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE