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Fast Implementation Of The Kernel Density Code

Author

Listed:
  • Yuriy Tchamourliyski

    () (Boston College)

Abstract

The archive contains fast implementation of the Gauss program for weighted kernel density estimation. The code runs substantially faster (about 20 times faster) compared to the direct implementation, however this version works only under Gauss for Windows (requires dlibrary). The code uses a dll library compiled from Fortran code, and callable from the Windows version of Gauss. The Fortran code is also included, and can be used to compile a library callable from Gauss for Dos, and Gauss for Unix. See the Readme file for details. This version does not allow the user to change the kernel weighting function (the default is the standardized quartic kernel), or distinguish between continuous and discrete regressors when calculating the weighted density estimate.

Suggested Citation

  • Yuriy Tchamourliyski, 2002. "Fast Implementation Of The Kernel Density Code," Statistical Software Components G00004, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:g00004
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    File URL: http://fmwww.bc.edu/repec/bocode/s/semip.zip
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    Keywords

    kernel density estimation;

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