Multivariate kernel density estimation

Briefly, we shall see the definition of a kernel density estimator in the multivariate case. Suppose that the data is d-dimensional so that $latex {X_{i}=(X_{i1},\ldots,X_{id})}&fg=000000$. We will use the product kernel $latex \displaystyle \hat{f}_{h}(x)=\frac{1}{nh_{1}\cdots h_{d}}\left\{ \prod_{j=1}^{d}K\left(\frac{x_{j}-X_{ij}}{h_{j}}\right)\right\} . &fg=000000$ The risk is given by $latex \displaystyle \mathrm{MISE}\approx\frac{\left(\mu_{2}(K)\right)^{4}}{4}\left[\sum_{j=1}^{d}h_{j}^{4}\int f_{jj}^{2}(x)dx+\sum_{j\neq k}h_{j}^{2}h_{k}^{2}\int f_{jj}f_{kk}dx\right]+\frac{\left(\int K^{2}(x)dx\right)^{d}}{nh_{1}\cdots h_{d}} &fg=000000$

Choosing the smoothing parameter

Two popular methods to find the bandwidth $latex {h}&fg=000000$ for the nonparametric density estimator are the plug-in method and the method cross-validation. The first one we will focus in the “quick and dirty” plug-in method introduced by Silverman (1986). In cross-validation we will minimize a modified version of the quadratic risk of $latex {\hat{f}_{h}}&fg=000000$. The […]

Kernel density estimation

I will make a summary of ideas about nonparametric estimation, including some basics results to develop more advanced theory later. In the first post  we talk something about the density estimation and the nonparametric regression. Later, in posts about histogram (I,II,III,IV) , we saw how the histogram is a nonparametric estimator and we studied its […]

Density Estimation by Histograms (Part IV)

Today we will apply the ideas of the others post by a simple example. Before, we are going to answer the question of the last week. What is exactly the $latex {h_{opt}}&fg=000000$ if we assume that $latex \displaystyle \displaystyle f(x) = \frac{1}{\sqrt{2\pi}} \text{exp}\left(\frac{-x^2}{2}\right)? &fg=000000$ How $latex {f(x)}&fg=000000$ is the density of standard normal distribution. It is […]