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- W1971323961 abstract "It is argued that mean integrated squared error is not a useful measure of the performance of a variable bandwidth density estimator based on Abramson's square root law. The reason is that when the unknown density $f$ has even moderately light tails, properties of those tails drive the formula for optimal bandwidth, to the virtual exclusion of other properties of $f$. We suggest that weighted integrated squared error be employed as the performance criterion, using a weight function with compact support. It is shown that this criterion is driven by pointwise properties of $f$. Furthermore, weighted squared-error cross-validation selects a bandwidth which gives first-order asymptotic optimality of an adaptive, feasible version of Abramson's variable bandwidth estimator." @default.
- W1971323961 created "2016-06-24" @default.
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- W1971323961 date "1992-06-01" @default.
- W1971323961 modified "2023-09-24" @default.
- W1971323961 title "On Global Properties of Variable Bandwidth Density Estimators" @default.
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- W1971323961 doi "https://doi.org/10.1214/aos/1176348655" @default.
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