A Bayesian approach to bandwidth selection for multivariate kernel density estimation

DOI10.1016/j.csda.2005.06.019zbMath1445.62077OpenAlexW2165085526WikidataQ58297477 ScholiaQ58297477MaRDI QIDQ959388

Rob Hyndman, Maxwell L. King, Xibin Zhang

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.06.019

zbMATH Keywords

cross-validationKullback-Leibler informationsampling algorithmsmean integrated squared errorsMonte Carlo kernel likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Estimation in multivariate analysis (62H12)

Related Items

Covariate balancing based on kernel density estimates for controlled experiments, Combining integral transform and a generalized probabilistic approach of uncertainties to quantify model-parameter and model uncertainties in computational structural dynamics: the stochastic GITT method, Bayesian nonparametric estimation of bandwidth using mixtures of kernel estimators for length-biased data, Bayesian estimation of adaptive bandwidth matrices in multivariate kernel density estimation, A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation, Bayesian selector of adaptive bandwidth for gamma kernel density estimator on [0,∞): simulations and applications, Bayesian bandwidth selection in discrete multivariate associated kernel estimators for probability mass functions, BAYESIAN SELECTION OF LOCAL BANDWIDTH IN NON-HOMOGENEOUS POISSON PROCESS KERNEL ESTIMATORS FOR THE INTENSITY FUNCTION, On bandwidth selection using minimal spanning tree for kernel density estimation, Frequentist nonparametric goodness-of-fit tests via marginal likelihood ratios, Data-driven kernel representations for sampling with an unknown block dependence structure under correlation constraints, Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval, Variational inference for varying-coefficient model, A multivariate non-parametric kernel estimator for global sensitivity analysis, Nonparametric goodness-of-fit testing for a continuous multivariate parametric model, An evaluation of likelihood-based bandwidth selectors for spatial and spatiotemporal kernel estimates, Bayesian Selection of Adaptive Bandwidth in Non-homogeneous Poisson Process Kernel Estimators for the Intensity Function, Birnbaum-Saunders power-exponential kernel density estimation and Bayes local bandwidth selection for nonnegative heavy tailed data, Approximate inference of the bandwidth in multivariate kernel density estimation, A flexible extreme value mixture model, Bayesian multiscale smoothing in supervised and semi-supervised kernel discriminant analysis, A model‐based approach for analog spatio‐temporal dynamic forecasting, Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions, Fast computation of spatially adaptive kernel estimates, Bayesian bandwidth estimation for local linear fitting in nonparametric regression models, Adaptive Bayesian bandwidth selection in asymmetric kernel density estimation for nonnegative heavy-tailed data, Particle-kernel estimation of the filter density in state-space models, Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff, Hypothesis testing based on a vector of statistics, A Bayesian procedure for bandwidth selection in circular kernel density estimation, Bayesian inference of a parametric random spheroid from its orthogonal projections, Fast multivariate empirical cumulative distribution function with connection to kernel density estimation, Nonparametric Construction of Multivariate Kernels, Bayesian adaptive bandwidth selector for multivariate discrete kernel estimator, A Bayesian method to estimate the optimal bandwidth for multivariate kernel estimator, Bayesian Approach in Nonparametric Count Regression with Binomial Kernel, Nonparametric multivariate density estimation using mixtures, Adaptive smoothing in associated kernel discrete functions estimation using Bayesian approach, Estimation of relative risk for events on a linear network, Bayesian local bandwidth selector in multivariate associated kernel estimator for joint probability mass functions, Gains from joint cross validation bandwidth selection for derivatives of conditional multidimensional densities, Bayesian variance-stabilizing kernel density estimation using conjugate prior, A Bayesian approach to bandwidth selection in univariate associate kernel estimation, Nonparametric density estimation for multivariate bounded data, Bayesian approach to bandwidth selection for multivariate count regression function estimation by associated discrete kernel, Diffusion smoothing for spatial point patterns, Comparison study to bandwidth selection in binomial kernel estimation using Bayesian approaches, Maximum Likelihood Estimation of a Multi-Dimensional Log-Concave Density, Nonparametric localized bandwidth selection for Kernel density estimation, Functional coefficient time series models with trending regressors, Statistical inferences for single-index models with measurement errors, Bayesian selector of adaptive bandwidth for multivariate gamma kernel estimator on [0,∞ )^d

Uses Software

• KernSmooth
• pyuvdata

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• A comparison of cross-validation techniques in density estimation
• Smoothing techniques. With implementation in S
• On bandwidth variation in kernel estimates. A square root law
• Smoothing methods in statistics
• Multivariate plug-in bandwidth selection
• A Brief Survey of Bandwidth Selection for Density Estimation
• Recent Developments in Nonparametric Density Estimation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Statistical Applications of the Multivariate Skew Normal Distribution
• Cross-Validation of Multivariate Densities
• Inference Concerning the Number of Factors in a Multivariate Nonparametric Relationship
• The multivariate skew-normal distribution
• On Locally Adaptive Density Estimation
• Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• A Skew Extension of the T-Distribution, with Applications
• Plug-in bandwidth matrices for bivariate kernel density estimation
• Comparison of Smoothing Parameterizations in Bivariate Kernel Density Estimation
• Monte Carlo State-Space Likelihoods by Weighted Posterior Kernel Density Estimation
• Bayesian inference on GARCH models using the Gibbs sampler