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Birnbaum–Saunders power-exponential kernel density estimation and Bayes local bandwidth selection for nonnegative heavy tailed data

Author

Listed:
  • Yasmina Ziane

    (University of Bejaia)

  • Nabil Zougab

    (University of Bejaia)

  • Smail Adjabi

    (University of Bejaia)

Abstract

In this paper, we study the performance of the Birnbaum–Saunders-power-exponential (BS-PE) kernel and Bayesian local bandwidth selection in the context of kernel density estimation for nonnegative heavy tailed data. Our approach considers the BS-PE kernel estimator and treats locally the bandwidth h as a parameter with prior distribution. The posterior density of h at each point x (point where the density is estimated) is derived in closed form, and the Bayesian bandwidth selector is obtained by using popular loss functions. The performance evaluation of this new procedure is carried out by a simulation study and real data in web-traffic. The proposed method is very quick and very competitive in comparison with the existing global methods, namely biased cross-validation and unbiased cross-validation.

Suggested Citation

  • Yasmina Ziane & Nabil Zougab & Smail Adjabi, 2018. "Birnbaum–Saunders power-exponential kernel density estimation and Bayes local bandwidth selection for nonnegative heavy tailed data," Computational Statistics, Springer, vol. 33(1), pages 299-318, March.
    • Handle: RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0712-8
    DOI: 10.1007/s00180-017-0712-8
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    References listed on IDEAS

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    1. Y. Ziane & S. Adjabi & N. Zougab, 2015. "Adaptive Bayesian bandwidth selection in asymmetric kernel density estimation for nonnegative heavy-tailed data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(8), pages 1645-1658, August.
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    8. Igarashi, Gaku & Kakizawa, Yoshihide, 2014. "Re-formulation of inverse Gaussian, reciprocal inverse Gaussian, and Birnbaum–Saunders kernel estimators," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 235-246.
    9. Xiaodong Jin & Janusz Kawczak, 2003. "Birnbaum-Saunders and Lognormal Kernel Estimators for Modelling Durations in High Frequency Financial Data," Annals of Economics and Finance, Society for AEF, vol. 4(1), pages 103-124, May.
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    4. Bedouhene Kahina & Zougab Nabil, 2020. "A Bayesian procedure for bandwidth selection in circular kernel density estimation," Monte Carlo Methods and Applications, De Gruyter, vol. 26(1), pages 69-82, March.

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