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Bandwidth selection for kernel conditional density estimation

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  • Bashtannyk, David M.
  • Hyndman, Rob 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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Suggested Citation

  • Bashtannyk, David M. & Hyndman, Rob J., 2001. "Bandwidth selection for kernel conditional density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 36(3), pages 279-298, May.
    • Handle: RePEc:eee:csdana:v:36:y:2001:i:3:p:279-298
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    1. Hall, Peter & Wolff, Rodney C. L. & Yao, Qiwei, 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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    3. Fan, Jianqing & Yao, Qiwei & Tong, Howell, 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.
    4. A. Azzalini & A.W. Bowman, 1990. "A Look at Some Data on the Old Faithful Geyser," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 39(3), pages 357-365, November.
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    More about this item

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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