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	Abstrakt článku Abstrakt, literatura, odkaz na online verzi
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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