.e an Asymptotically Efficient Solution to the Bandwidth Problem of Kernel Density Esti~~tion
نویسنده
چکیده
A data-driven method of choosing the bandwidth, h, of a kernel density estimator is proposed. It is seen that this mean& of selecting h is asymptotically equivalent to taking the h that minimizes a certain weighted version of the mean integrated square error. Thus, for a given kernel function, the bandwidth can be chosen optimally without making precise smoothness assumptions on the underlying density. The proposed technique is a modification of cross-validation. AMS 1980 Subject Classification: Primary 62GOS, Secondary 62G20
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