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Fast Implementation Of The Kernel Density Code

  • Yuriy Tchamourliyski


    (Boston College)

Registered author(s):

    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.

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    Software component provided by Boston College Department of Economics in its series Statistical Software Components with number G00004.

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    Programming language: GAUSS
    Requires: GAUSS
    Date of creation: 13 Nov 2002
    Date of revision:
    Handle: RePEc:boc:bocode:g00004
    Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
    Phone: 617-552-3670
    Fax: +1-617-552-2308
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