Bandwidth selection for kernel conditional density estimation
AbstractWe 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 36 (2001)
Issue (Month): 3 (May)
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Web page: http://www.elsevier.com/locate/csda
Other versions of this item:
- Bashtannyk, D.M. & Hyndman, R.J., 1998. "Bandwidth Selection for Kernel Conditional Density Estimation," Monash Econometrics and Business Statistics Working Papers 16/98, Monash University, Department of Econometrics and Business Statistics.
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jianqing Fan & Qiwei Yao & Howell Tong, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
- Qiwei Yao & Rob J. Hyndman, 2002.
"Nonparametric estimation and symmetry tests for conditional density functions,"
LSE Research Online Documents on Economics
6092, London School of Economics and Political Science, LSE Library.
- Hyndman, R.J. & Yao, Q., 1998. "Nonparametric Estimation and Symmetry Tests for Conditional Density Functions," Monash Econometrics and Business Statistics Working Papers 17/98, Monash University, Department of Econometrics and Business Statistics.
- Peter Hall & Rodney C. L. Wolff & Qiwei Yao, 1999. "Methods for estimating a conditional distribution function," LSE Research Online Documents on Economics 6631, London School of Economics and Political Science, LSE Library.
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