Bandwidth Selection for Kernel Conditional Density Estimation

D.M. Bashtannyk and Rob Hyndman ()

No 16/98, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: We consider bandwidth selection for the kernel estimator of conditional density with one explanatory variable. Several bandwidth selection methods are derived ranging from fast rules-of-thumb which assume the underlying densities are known to relatively slow procedures which use the bootstrap. The methods are compared and a practical bandwidth selection strategy which combines the methods is proposed. The methods are compared using two simulation studies and a real data set.

Keywords: EVALUATION; KERNEL (search for similar items in EconPapers)
JEL-codes: C87 C50 (search for similar items in EconPapers)
Date: 1998

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Journal Article: Bandwidth selection for kernel conditional density estimation (2001)
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