Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC
Kernel density estimation for multivariate data is an important technique that has a wide range of applications in econometrics and finance. However, it has received significantly less attention than its univariate counterpart. The lower level of interest in multivariate kernel density estimation is mainly due to the increased difficulty in deriving an optimal data-driven bandwidth as the dimension of data increases. We provide Markov chain Monte Carlo (MCMC) algorithms for estimating optimal bandwidth matrices for multivariate kernel density estimation. Our approach is based on treating the elements of the bandwidth matrix as parameters whose posterior density can be obtained through the likelihood cross-validation criterion. Numerical studies for bivariate data show that the MCMC algorithm generally performs better than the plug-in algorithm under the Kullback-Leibler information criterion, and is as good as the plug-in algorithm under the mean integrated squared errors (MISE) criterion. Numerical studies for 5 dimensional data show that our algorithm is superior to the normal reference rule. Our MCMC algorithm is the first data-driven bandwidth selector for kernel density estimation with more than two variables, and the sampling algorithm involves no increased difficulty as the dimension of data increase
|Date of creation:||11 Aug 2004|
|Date of revision:|
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tse, Y.K. & Zhang, Bill & Yu, Jun, 2002.
"Estimation of Hyperbolic Diffusion using MCMC Method,"
182, Department of Economics, The University of Auckland.
- Y.K. Tse & Xibin Zhang & Jun Yu, 2002. "Estimation of Hyperbolic Diffusion Using MCMC Method," Monash Econometrics and Business Statistics Working Papers 18/02, Monash University, Department of Econometrics and Business Statistics.
- BAUWENs, Luc & LUBRANO , Michel, 1996.
"Bayesian Inference on GARCH Models using the Gibbs Sampler,"
CORE Discussion Papers
1996027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Michel Lubrano, 1998. "Bayesian inference on GARCH models using the Gibbs sampler," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C23-C46.
- Bauwens, L. & Lubrano, M., 1996. "Bayesian Inference on GARCH Models Using the Gibbs Sampler," G.R.E.Q.A.M. 96a21, Universite Aix-Marseille III.
- Bauwens, L. & Lubrano, M., . "Bayesian inference on GARCH models using the Gibbs sampler," CORE Discussion Papers RP 1307, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Yacine Aït-Sahalia & Andrew W. Lo, .
"Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices,"
CRSP working papers
332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, vol. 53(2), pages 499-547, 04.
- Yacine Ait-Sahalia & Andrew W. Lo, 1995. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers 5351, National Bureau of Economic Research, Inc.
- Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew "t"-distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389.
- Ait-Sahalia, Yacine, 1996.
"Testing Continuous-Time Models of the Spot Interest Rate,"
Review of Financial Studies,
Society for Financial Studies, vol. 9(2), pages 385-426.
- Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.
When requesting a correction, please mention this item's handle: RePEc:ecm:ausm04:120. 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: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.