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Kernel Estimators for Cell Probabilities

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  • Grund, B.

Abstract

Kernel density estimators for discrete multivariate data are investigated, using the notation framework of contingency tables. We derive large sample properties of kernel estimators and the least-squares cross-validation method for choosing the bandwidth, including the asymptotic bias, the mean summed squared error, the actual summed squared error, and the asymptotic distribution of the resulting non-parametric estimator. We show that the least-squares cross-validation procedure is superior to Kullback-Leibler cross-validation in terms of mean summed squared error, but that the least-squares cross-validation is still sub-optimal concerning actual summed squared error.

Suggested Citation

  • Grund, B., 1993. "Kernel Estimators for Cell Probabilities," Journal of Multivariate Analysis, Elsevier, vol. 46(2), pages 283-308, August.
    • Handle: RePEc:eee:jmvana:v:46:y:1993:i:2:p:283-308
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    Cited by:

    1. Federico A Bugni & Jackson Bunting, 2021. "On the Iterated Estimation of Dynamic Discrete Choice Games [Pseudo maximum likelihood estimation of structural models involving fixed-point problems]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(3), pages 1031-1073.
    2. M. Jones & S. Vines, 1998. "Choosing the smoothing parameter for unordered multinomial data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 7(2), pages 413-426, December.
    3. Dakshina G. De Silva & Robert P. McComb & Anita R. Schiller, 2013. "Do production subsidies have a wage incidence in wind power?," Applied Economics, Taylor & Francis Journals, vol. 45(28), pages 3963-3972, October.
    4. Li, Qi & Racine, Jeff, 2003. "Nonparametric estimation of distributions with categorical and continuous data," Journal of Multivariate Analysis, Elsevier, vol. 86(2), pages 266-292, August.
    5. Efromovich, Sam, 2011. "Nonparametric estimation of the anisotropic probability density of mixed variables," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 468-481, March.
    6. Joachim R. Groeger, 2014. "A Study Of Participation In Dynamic Auctions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(4), pages 1129-1154, November.

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