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- W1964066125 abstract "This paper studies bandwidth selection for kernel estimation of derivatives of multidimensional conditional densities, a non-parametric realm unexplored in the literature. This paper extends Baird [Cross validation bandwidth selection for derivatives of multidimensional densities. RAND Working Paper series, WR-1060; 2014] in its examination of conditional multivariate densities, derives and presents criteria for arbitrary kernel order and density dimension, shows consistency of the estimators, and investigates a minimization criterion which jointly estimates numerator and denominator bandwidths. I conduct a Monte Carlo simulation study for various orders of kernels in the Gaussian family and compare the new cross validation criterion with those implied by Baird [Cross validation bandwidth selection for derivatives of multidimensional densities. RAND Working Paper series, WR-1060; 2014]. The paper finds that higher order kernels become increasingly important as the dimension of the distribution increases. I find that the cross validation criterion developed in this paper that jointly estimates the derivative of the joint density (numerator) and the marginal density (denominator) does orders of magnitude better than criteria that estimate the bandwidths separately. I further find that using the infinite order Dirichlet kernel tends to have the best results." @default.
- W1964066125 created "2016-06-24" @default.
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- W1964066125 date "2015-04-24" @default.
- W1964066125 modified "2023-09-27" @default.
- W1964066125 title "Gains from joint cross validation bandwidth selection for derivatives of conditional multidimensional densities" @default.
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- W1964066125 doi "https://doi.org/10.1080/00949655.2015.1037766" @default.
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