KERNEL DENSITY ESTIMATION VIA DIFFUSION

• 成果类型: Article
• 署名作者: Botev, Z. I.; Grotowski, J. F.; Kroese, D. P.
• 署名单位: University of Queensland
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/10-AOS799
• 发表日期: 2010
• 页码: 2916-2957
• 关键词: Bandwidth selection; boundary correction; variable location

摘要

We present a new adaptive kernel density estimator based on linear diffusion processes. The proposed estimator builds on existing ideas for adaptive smoothing by incorporating information from a pilot density estimate. In addition, we propose a new plug-in bandwidth selection method that is free from the arbitrary normal reference rules used by existing methods. We present simulation examples in which the proposed approach outperforms existing methods in terms of accuracy and reliability.