Hu, Shuowen; Poskitt, D.S.; Zhang, Xibin - In: Computational Statistics & Data Analysis 56 (2012) 3, pp. 732-740
density of the bandwidth parameters via the Kullback–Leibler divergence criterion and use a Markov chain Monte Carlo (MCMC … estimator. Monte Carlo simulation results show that the tail-adaptive density estimator outperforms the global-bandwidth density …