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Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions

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  • Hu, Shuowen
  • Poskitt, D.S.
  • Zhang, Xibin

Abstract

In this paper, we propose a new methodology for multivariate kernel density estimation in which data are categorized into low- and high-density regions as an underlying mechanism for assigning adaptive bandwidths. We derive the posterior density of the bandwidth parameters via the Kullback–Leibler divergence criterion and use a Markov chain Monte Carlo (MCMC) sampling algorithm to estimate the adaptive bandwidths. The resulting estimator is referred to as the tail-adaptive density estimator. Monte Carlo simulation results show that the tail-adaptive density estimator outperforms the global-bandwidth density estimators implemented using different global bandwidth selection rules. The inferential potential of the tail-adaptive density estimator is demonstrated by employing the estimator to estimate the bivariate density of daily index returns observed from the USA and Australian stock markets.

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  • Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2012. "Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 732-740.
    • Handle: RePEc:eee:csdana:v:56:y:2012:i:3:p:732-740
    DOI: 10.1016/j.csda.2011.09.022
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    Cited by:

    1. Y. Ziane & S. Adjabi & N. Zougab, 2015. "Adaptive Bayesian bandwidth selection in asymmetric kernel density estimation for nonnegative heavy-tailed data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(8), pages 1645-1658, August.
    2. Yasmina Ziane & Nabil Zougab & Smail Adjabi, 2018. "Birnbaum–Saunders power-exponential kernel density estimation and Bayes local bandwidth selection for nonnegative heavy tailed data," Computational Statistics, Springer, vol. 33(1), pages 299-318, March.
    3. Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2012. "Bayesian adaptive bandwidth kernel density estimation of irregular multivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 732-740.
    4. Zougab, Nabil & Adjabi, Smail & Kokonendji, Célestin C., 2014. "Bayesian estimation of adaptive bandwidth matrices in multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 28-38.
    5. Tristan Senga Kiessé & Nabil Zougab & Célestin C. Kokonendji, 2016. "Bayesian estimation of bandwidth in semiparametric kernel estimation of unknown probability mass and regression functions of count data," Computational Statistics, Springer, vol. 31(1), pages 189-206, March.
    6. Ziane Yasmina & Zougab Nabil & Adjabi Smail, 2021. "Body tail adaptive kernel density estimation for nonnegative heavy-tailed data," Monte Carlo Methods and Applications, De Gruyter, vol. 27(1), pages 57-69, March.

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    More about this item

    Keywords

    Marginal likelihood; Markov chain Monte Carlo; S&P 500 index; Value-at-risk;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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