IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Practical performance of several data driven bandwidth selectors

  • PARK, Byeong
  • TURLACH, Berwin

    (CORE, Université catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium)

Registered author(s):

    Most recently proposed bandwidth selectors in kernel density estimation have been developed with intent to reduce the large sampling variability of Least Squares Cross-Validation. Their asymptotic superiority has been shown in many papers. Some of those selectors have even the fastest n-1/ 2 relative rate of convergence to their theoretical optimum. The aim of this paper is to see what is happening for small sample sizes. Several recently proposed methods of bandwidth selection are considered. These methods are compared to Least Squares Cross-Validation through simulations. Some qualitative measures of performance as well as quantitative ones are used for this comparison. It is seen that, while most of the bandwidth selectors gain some in terms of variance reduction, some of them lose a lot in terms of increased bias resulting in inferior overall performance when compared to Least Squares Cross-Validation.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://alfresco.uclouvain.be/alfresco/download/attach/workspace/SpacesStore/0e3d719b-5060-4097-88c8-2d29325fdb8b/coredp_1992_05.pdf
    Download Restriction: no

    Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1992005.

    as
    in new window

    Length:
    Date of creation: 01 Jan 1992
    Date of revision:
    Handle: RePEc:cor:louvco:1992005
    Contact details of provider: Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)
    Phone: 32(10)474321
    Fax: +32 10474304
    Web page: http://www.uclouvain.be/core
    Email:


    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:cor:louvco:1992005. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alain GILLIS)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.