A bayesian approach to bandwidth selection in univariate associate kernel estimation

被引：10

作者：

Zougab N. ^{[1
]}

Adjabi S. ^{[1
]}

Kokonendji C.C. ^{[2
]}

机构：

[1] LAMOS Laboratory, University of Bejaia, Targa Ouzemour

[2] University of Franche-Comté, LMB UMR 6623 CNRS, Besançon cedex

来源：

Journal of Statistical Theory and Practice | 2013年 / 7卷 / 1期

关键词：

Cross validation; likelihood; MCMC method;

D O I：

10.1080/15598608.2013.756286

中图分类号：

学科分类号：

摘要：

The fundamental problem in the associate kernel estimation of density or probability mass function (pmf) is the choice of the bandwidth. In this paper, we use a Bayesian approach based upon likelihood cross-validation and a Monte Carlo Markov chain (MCMC) method for deriving the global optimal bandwidth. A comparative simulation study of the MCMC method and the classical methods that adopt the asymptotic mean integrated square error () as criterion and the cross validation is presented for data generated from known densities and pmf, using standard AMISE and the practical integrated squared error. The simulation results show the superiority of the MCMC method over the classical methods. © 2013 Copyright Grace Scientific Publishing, LLC.

引用

页码：8 / 23

页数：15

共 21 条

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