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Data-dependent bandwidth choice for a grade density kernel estimate

Author

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  • Cwik, Jan
  • Mielniczuk, Jan

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.

Suggested Citation

  • Cwik, Jan & Mielniczuk, Jan, 1993. "Data-dependent bandwidth choice for a grade density kernel estimate," Statistics & Probability Letters, Elsevier, vol. 16(5), pages 397-405, April.
    • Handle: RePEc:eee:stapro:v:16:y:1993:i:5:p:397-405
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    Cited by:

    1. Zoya Nissanov & Maria Grazia Pittau, 2016. "Measuring changes in the Russian middle class between 1992 and 2008: a nonparametric distributional analysis," Empirical Economics, Springer, vol. 50(2), pages 503-530, March.
    2. Gaëlle Chagny & Claire Lacour, 2015. "Optimal adaptive estimation of the relative density," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(3), pages 605-631, September.
    3. Riccardo Massari, 2009. "Is income becoming more polarized Italy? A closer look with a distributional approach," Working Papers 1, Doctoral School of Economics, Sapienza University of Rome.
    4. Elisa–María Molanes-López & Ricardo Cao, 2008. "Relative density estimation for left truncated and right censored data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 20(8), pages 693-720.
    5. Mark S. Handcock & Paul L. Janssen, 2002. "Statistical Inference for the Relative Density," Sociological Methods & Research, , vol. 30(3), pages 394-424, February.
    6. Cao, Ricardo & Janssen, Paul & Veraverbeke, Noel, 2001. "Relative density estimation and local bandwidth selection for censored data," Computational Statistics & Data Analysis, Elsevier, vol. 36(4), pages 497-510, June.

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