Choice of Kernel Order in Density Estimation
The Annals of Statistics · 1988 · Volume 16 · Issue 1
Abstract
The selection of the order, i.e., number of vanishing moments, of the kernel in a kernel density estimator is considered from two points of view. First, theoretical properties are investigated by a mean integrated squared error analysis of the problem. Second, and perhaps more importantly, cross validation is proposed as a practical method of choice, and theoretical backing for this is provided through an asymptotic optimality result.
Keywords
62E20, 62G05, Cross validation, Nonparametric density estimation, smoothness, variable-order kernel
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