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Optimal bandwidth selection for recursive Gumbel kernel density estimators

Optimal bandwidth selection for recursive Gumbel kernel density estimators AbstractIn this paper, we propose a data driven bandwidth selection of the recursive Gumbel kernel estimators of a probability density function based on a stochastic approximation algorithm. The choice of the bandwidth selection approaches is investigated by a second generation plug-in method. Convergence properties of the proposed recursive Gumbel kernel estimators are established. The uniform strong consistency of the proposed recursive Gumbel kernel estimators is derived. The new recursive Gumbel kernel estimators are compared to the non-recursive Gumbel kernel estimator and the performance of the two estimators are illustrated via simulations as well as a real application. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

Optimal bandwidth selection for recursive Gumbel kernel density estimators

Slaoui, Yousri
Dependence Modeling , Volume 7 (1): 19 – Jan 1, 2019
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19 pages

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Publisher
de Gruyter
Copyright
© 2019 Yousri Slaoui, published by De Gruyter
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2019-0020
Publisher site
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Abstract

AbstractIn this paper, we propose a data driven bandwidth selection of the recursive Gumbel kernel estimators of a probability density function based on a stochastic approximation algorithm. The choice of the bandwidth selection approaches is investigated by a second generation plug-in method. Convergence properties of the proposed recursive Gumbel kernel estimators are established. The uniform strong consistency of the proposed recursive Gumbel kernel estimators is derived. The new recursive Gumbel kernel estimators are compared to the non-recursive Gumbel kernel estimator and the performance of the two estimators are illustrated via simulations as well as a real application.

Journal

Dependence Modeling – de Gruyter

Published: Jan 1, 2019

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