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Universal smoothing factor selection in density estimation: theory and practice

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Author Info
Duc Devroye ()
J. Beirlant
R. Cao
R. Fraiman
P. Hall
M. Jones
Gábor Lugosi
E. Mammen
J. Marron
C. Sánchez-Sellero
J. Uña
F. Udina
L. Devroye

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Abstract

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File URL: http://hdl.handle.net/10.1007/BF02564701
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Publisher Info
Article provided by Springer in its journal Test.

Volume (Year): 6 (1997)
Issue (Month): 2 (December)
Pages: 223-320
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:testjl:v:6:y:1997:i:2:p:223-320

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Related research
Keywords: Density estimation; kernel estimate; convergence; smoothing factor; minimum distance estimate; asymptotic optimality; simulation study; 62G05;

References listed on IDEAS
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.:

  1. PARK , Byeong & TURLACH, Berwin, 1992. "Practical performance of several data driven bandwidth selectors," CORE Discussion Papers 1992005, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Wand, M. P. & Devroye, Luc, 1993. "How easy is a given density to estimate?," Computational Statistics & Data Analysis, Elsevier, vol. 16(3), pages 311-323, September. [Downloadable!] (restricted)
  3. Kim, W. C. & Park, B. U. & Marron, J. S., 1994. "Asymptotically best bandwidth selectors in kernel density estimation," Statistics & Probability Letters, Elsevier, vol. 19(2), pages 119-127, January. [Downloadable!] (restricted)
  4. Mammen, Enno, 1990. "A short note on optimal bandwidth selection for kernel estimators," Statistics & Probability Letters, Elsevier, vol. 9(1), pages 23-25, January. [Downloadable!] (restricted)
  5. Jones, M. C. & Sheather, S. J., 1991. "Using non-stochastic terms to advantage in kernel-based estimation of integrated squared density derivatives," Statistics & Probability Letters, Elsevier, vol. 11(6), pages 511-514, June. [Downloadable!] (restricted)
  6. Devroye, Luc, 1994. "On the non-consistency of an estimate of Chiu," Statistics & Probability Letters, Elsevier, vol. 20(3), pages 183-188, June. [Downloadable!] (restricted)
  7. Devroye, Luc, 1989. "A universal lower bound for the kernel estimate," Statistics & Probability Letters, Elsevier, vol. 8(5), pages 419-423, October. [Downloadable!] (restricted)
  8. Daren Cline, 1990. "Optimal kernel estimation of densities," Annals of the Institute of Statistical Mathematics, Springer, vol. 42(2), pages 287-303, June. [Downloadable!] (restricted)
  9. Hall, Peter, 1990. "Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 177-203, February. [Downloadable!] (restricted)
  10. L. Yang & S. Marron, . "Iterated Transformation-Kernel Density Estimation," Sonderforschungsbereich 373 1997-6, Humboldt Universitaet Berlin.
  11. L. Yang, . "Root-n Convergent Transformation-Kernel Density Estimation," Sonderforschungsbereich 373 1996-94, Humboldt Universitaet Berlin.
  12. Jones, M. C., 1991. "The roles of ISE and MISE in density estimation," Statistics & Probability Letters, Elsevier, vol. 12(1), pages 51-56, July. [Downloadable!] (restricted)
  13. O. V. Lepskii & E. Mammen & V. G. Spokoiny, . "Optimal Spatial Adaptation to Inhomogeneous Smoothness: an Approach Based on Kernel Estimates with Variable Bandwidth Selectors," Sonderforschungsbereich 373 1995-3, Humboldt Universitaet Berlin.
  14. Cao, Ricardo & Cuevas, Antonio & Gonzalez Manteiga, Wensceslao, 1994. "A comparative study of several smoothing methods in density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 17(2), pages 153-176, February. [Downloadable!] (restricted)
  15. Marron, J. S., 1989. "Comments on a data based bandwidth selector," Computational Statistics & Data Analysis, Elsevier, vol. 8(2), pages 155-170, July. [Downloadable!] (restricted)
  16. Marron, J S, 1988. "Automatic Smoothing Parameter Selection: A Survey," Empirical Economics, Springer, vol. 13(3/4), pages 187-208.
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Cited by:
(explanations, 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.)

  1. Luc Devroye & Gábor Lugosi & Frederic Udina, 1998. "Inequalities for a New Data-Based Method for Selecting Nonparametric Density Estimates," Economics Working Papers 281, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  2. Luc Devroye & Gábor Lugosi, 1998. "Variable Kernel Estimates: On the Impossibility of Tuning the Parameters," Economics Working Papers 325, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
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