Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/43974
Title: | Data-Based Choice of the Number of Pilot Stages for Plug-in Bandwidth Selection | Authors: | Chacón, J. E. Tenreiro, C. |
Issue Date: | 2013 | Project: | CMUC/FCT | Serial title, monograph or event: | Communications in Statistics - Theory and Methods | Volume: | 42 | Issue: | 12 | Abstract: | The choice of the bandwidth is a crucial issue for kernel density estimation. Among all the data-dependent methods for choosing the bandwidth, the direct plug-in method has shown a particularly good performance in practice. This procedure is based on estimating an asymptotic approximation of the optimal bandwidth, using two `pilot' kernel estimation stages. Although two pilot stages seem to be enough for most densities, for a long time the problem of how to choose an appropriate number of stages has remained open. Here we propose an automatic (i.e., data-based) method for choosing the number of stages to be employed in the plug-in bandwidth selector. Asymptotic properties of the method are presented and an extensive simulation study is carried out to compare its small-sample performance with that of the most recommended bandwidth selectors in the literature. | URI: | https://hdl.handle.net/10316/43974 | DOI: | 10.1080/03610926.2011.606486 | Rights: | embargoedAccess |
Appears in Collections: | I&D CMUC - Artigos em Revistas Internacionais |
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