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Bandwidth Selection for Kernel Conditional Density Estimation

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Author Info

  • Bashtannyk, D.M.
  • Hyndman, R.J.

Abstract

We 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 Info

Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 16/98.

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Length: 21 pages
Date of creation: 1998
Date of revision:
Handle: RePEc:msh:ebswps:1998-16

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Keywords: EVALUATION ; KERNEL;

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  1. 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.
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