Optimal bandwidths for kernel density estimators of functions of observations

We derive optimal bandwidths for kernel density estimators of functions of observations proposed in Frees (J. Amer. Statist. Assoc. 89 (1994) 517-525). Our criteria are, respectively, the minimization of the asymptotic mean squared error and of the asymptotic mean integrated squared error of the estimators.

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Year of publication:	2001
Authors:	A. Ahmad, Ibrahim ; Fan, Yanqin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 51.2001, 3, p. 245-251
Publisher:	Elsevier
Keywords:	Density estimation Kernel methods Functions of random variables Optimal bandwidths Integrated mean square error

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211936