Tag Archives: Mean squared error

A global measure of risk for kernel estimators in Nikolski classes

Sergey Mikhailovich Nikolsky (Russian: Серге́й Миха́йлович Нико́льский; 30 April 1905 – 9 November 2012) was a Russian mathematician. He was born in Talitsa, which was at that time located in the Governorate of Perm, Russia. He had been an Academician since November 28, 1972. He also had won many scientific prizes. At the age of 92 he was still actively giving lectures in Moscow Institute of Physics and Technology. In 2005, he was only giving talks at scientific conferences, but was still working in MIPT, at the age of 100.

Photos of Sergey Nikolskii from The Russian Academy of Sciences The MSE  gives an error of the estimator $latex {\hat{p}_{n}}&fg=000000$ at an arbitrary point $latex {x_{0}}&fg=000000$, but it is worth to study a global risk for $latex {\hat{p} _{n}}&fg=000000$. The mean integrated squared error (MISE) is an important global measure, $latex \displaystyle \mathrm{MISE}\triangleq\mathop{\mathbb E}_{p}\int\left(\hat{p} _{n}(x)-p(x)\right)^{2}dx &fg=000000$ …

Density Estimation by Histograms (Part IV)

Final Histogram

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 …