Title

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

Authors

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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