On the Accuracy of Binned Kernel Density Estimators

Peter. Hall and M.P. Wand

Statistics Working Paper from Australian Graduate School of Management

Abstract: The accuracy of the binned kernel density estimator is studied for general binning rules. We derive mean squared error results for the closeness of this estimator to both the true density and the unbinned kernel estimator. The binning rule and smoothness of the kernel function are shown to influence the accuracy of the binned kernel estimators.Our results are used to compare commonly used binning rules, and to determine the minimum grid size required to obtain a given level of accuracy.

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