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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.

Suggested Citation

  • Bashtannyk, David M. & Hyndman, Rob J., "undated". "Bandwidth Selection for Kernel Conditional Density Estimation," Papers 267481, Department of Econometrics and Business Statistics Working Papers.
    • Handle: RePEc:ags:monebs:267481
    DOI: 10.22004/ag.econ.267481
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