Data-dependent bandwidth choice for a grade density kernel estimate

Jan Cwik and Jan Mielniczuk

Statistics & Probability Letters, 1993, vol. 16, issue 5, 397-405

Abstract: The method of choosing a smoothing parameter for a grade density kernel estimate g is proposed. It consists in estimating the minimizer of the asymptotic MISE for two main terms in the expansion of g. The behaviour of the estimates incorporating proposed bandwidths is investigated in the variety of parametric models and compared with that of estimates using bandwidths suitable for the complete observability case. They are shown to perform well for unimodal densities and moderately well for multimodal ones.

Keywords: Data-dependent; bandwidth; grade; density; mean; integrated; square; error (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (7)

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