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Bayesian estimation of bandwidth in semiparametric kernel estimation of unknown probability mass and regression functions of count data

Author

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  • Tristan Senga Kiessé

    (University of Nantes Angers Le Mans)

  • Nabil Zougab

    (University of Tizi-Ouzou
    Univesrity of Bejaia)

  • Célestin C. Kokonendji

    (University of Franche-Comté)

Abstract

This work takes advantage of semiparametric modelling which improves significantly in many situations the estimation accuracy of the purely nonparametric approach. Herein for semiparametric estimations of probability mass function (pmf) of count data, and an unknown count regression function (crf), the kernel used is a binomial one and the bandiwdth selection is investigated by developing Bayesian approaches. About the latter, Bayes local and global bandwidth approaches are used to establish data-driven selection procedures in semiparametric framework. From conjugate beta prior distributions of the smoothing parameter and under the squared errors loss function, Bayes estimate for pmf is obtained in closed form. This is not available for the crf which is computed by the Markov Chain Monte Carlo technique. Simulation studies demonstrate that both proposed methods perform better than the classical cross-validation procedures, in particular the smoothing quality and execution times are optimized. All applications are made on real data sets.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:compst:v:31:y:2016:i:1:d:10.1007_s00180-015-0627-1
    DOI: 10.1007/s00180-015-0627-1
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    References listed on IDEAS

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    1. 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.
    2. Zhang, Xibin & Brooks, Robert D. & King, Maxwell L., 2009. "A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation," Journal of Econometrics, Elsevier, vol. 153(1), pages 21-32, November.
    3. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
    4. T. Senga Kiessé & M. Rivoire, 2011. "Discrete semiparametric regression models with associated kernel and applications," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 23(4), pages 927-941.
    5. Zhang, Xibin & King, Maxwell L. & Shang, Han Lin, 2014. "A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density," Computational Statistics & Data Analysis, Elsevier, vol. 78(C), pages 218-234.
    6. N. Zougab & S. Adjabi & C. Kokonendji, 2012. "Binomial kernel and Bayes local bandwidth in discrete function estimation," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(3), pages 783-795.
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    Cited by:

    1. Célestin C. Kokonendji & Sobom M. Somé, 2021. "Bayesian Bandwidths in Semiparametric Modelling for Nonnegative Orthant Data with Diagnostics," Stats, MDPI, vol. 4(1), pages 1-22, March.
    2. Bedouhene Kahina & Zougab Nabil, 2020. "A Bayesian procedure for bandwidth selection in circular kernel density estimation," Monte Carlo Methods and Applications, De Gruyter, vol. 26(1), pages 69-82, March.

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