A bandwidth selection for kernel density estimation of functions of random variables

    Authors

    A. R. Mugdadi;I. A. Ahmad

    Comments

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    Abbreviated Journal Title

    Comput. Stat. Data Anal.

    Keywords

    density estimation; function of random variables; bandwidth; kernel; contrast; CROSS-VALIDATION; Computer Science, Interdisciplinary Applications; Statistics &; Probability

    Abstract

    In this investigation, the problem of estimating the probability density function of a function of m independent identically distributed random variables, g(X-1,X-2,...,X-m) is considered. The choice of the bandwidth in the kernel density estimation is very important. Several approaches are known for the choice of bandwidth in the kernel smoothing methods for the case m = 1 and g is the identity. In this study we will derive the bandwidth using the least square cross validation and the contrast methods. We will compare between the two methods using Monte Carlo simulation and using an example from the real life. (C) 2003 Elsevier B.V. All rights reserved.

    Journal Title

    Computational Statistics & Data Analysis

    Volume

    47

    Issue/Number

    1

    Publication Date

    1-1-2004

    Document Type

    Article

    Language

    English

    First Page

    49

    Last Page

    62

    WOS Identifier

    WOS:000223971800003

    ISSN

    0167-9473

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