Optimal bandwidths for kernel density estimators of functions of observations

Ibrahim A. Ahmad and Yanqin Fan

Statistics & Probability Letters, 2001, vol. 51, issue 3, 245-251

Abstract: We derive optimal bandwidths for kernel density estimators of functions of observations proposed in Frees (J. Amer. Statist. Assoc. 89 (1994) 517-525). Our criteria are, respectively, the minimization of the asymptotic mean squared error and of the asymptotic mean integrated squared error of the estimators.

Keywords: Density; estimation; Kernel; methods; Functions; of; random; variables; Optimal; bandwidths; Integrated; mean; square; error (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (2)

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