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On the minimization of absolute distance in kernel density estimation

Author

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  • Hall, Peter
  • Wand, Matthew P.

Abstract

We given an algorithm for determining the window-size which minimizes mean absolute distance in kernel density estimation and discuss the practical implications of our results.

Suggested Citation

  • Hall, Peter & Wand, Matthew P., 1988. "On the minimization of absolute distance in kernel density estimation," Statistics & Probability Letters, Elsevier, vol. 6(5), pages 311-314, April.
    • Handle: RePEc:eee:stapro:v:6:y:1988:i:5:p:311-314
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    Citations

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    Cited by:

    1. Miroslaw Pawlak, 1991. "On the almost everywhere properties of the kernel regression estimate," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 43(2), pages 311-326, June.
    2. Berwin A. TURLACH, "undated". "Bandwidth selection in kernel density estimation: a rewiew," Statistic und Oekonometrie 9307, Humboldt Universitaet Berlin.
    3. Wang, Xiao-Feng & Ye, Deping, 2015. "Conditional density estimation in measurement error problems," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 38-50.

    More about this item

    Keywords

    kernel estimator L1 distance mean absolute error nonparametric density estimation optimal window-size;

    JEL classification:

    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance

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