Fast Implementation Of The Kernel Density Code

Yuriy Tchamourliyski ()
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Yuriy Tchamourliyski: Boston College

Statistical Software Components from Boston College Department of Economics

Abstract: The archive contains fast implementation of the Gauss program for weighted kernel density estimation. The code runs substantially faster (about 20 times faster) compared to the direct implementation, however this version works only under Gauss for Windows (requires dlibrary). The code uses a dll library compiled from Fortran code, and callable from the Windows version of Gauss. The Fortran code is also included, and can be used to compile a library callable from Gauss for Dos, and Gauss for Unix. See the Readme file for details. This version does not allow the user to change the kernel weighting function (the default is the standardized quartic kernel), or distinguish between continuous and discrete regressors when calculating the weighted density estimate.

Language: GAUSS
Requires: GAUSS
Keywords: kernel; density; estimation (search for similar items in EconPapers)
Date: 2002-11-13
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http://fmwww.bc.edu/repec/bocode/s/semip.zip (application/zip)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:g00004

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