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Bandwidth Choice for Kernel Density Estimates.

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Original title:Bandwidth Choice for Kernel Density Estimates.
Authors:Ivanka Horová, Jan Koláček, Jiří Zelinka, Kamila Vopatová
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Original language:English
Field:Applied statistics, operation research
Type:Article in Proceedings
Keywords:multivariate kernel; bandwidth matrix; AMISE

Kernel density estimates attempt to reconstruct the probability density from the sample has come using the sample values and a few assumptions as possible. We focus on multivariate density estimates. A main attention is paid to a choice of a smoothing parameter. We extend an idea of an iterative method originally proposed for univariate densities to bivariate ones. The proposed method is compared with cross-validation methods in a simulation study.

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