Normal reference bandwidths for the general order, multivariate kernel density derivative estimator

Daniel J. Henderson; Christopher F. Parmeter

doi:10.1016/j.spl.2012.07.020

Normal reference bandwidths for the general order, multivariate kernel density derivative estimator

Daniel J. Henderson, Christopher F. Parmeter

Economics

Research output: Contribution to journal › Article

7 Scopus citations

Abstract

This note derives the general form of the asymptotic approximate mean integrated squared error for the q-variate, νth-order kernel density rth derivative estimator. This formula allows for normal reference rule-of-thumb bandwidths to be derived. We give tables for some of the most common cases in the literature.

Original language	English (US)
Pages (from-to)	2198-2205
Number of pages	8
Journal	Statistics and Probability Letters
Volume	82
Issue number	12
DOIs	https://doi.org/10.1016/j.spl.2012.07.020
State	Published - Dec 1 2012

Keywords

AMISE
Derivative estimation
Smoothing

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

Access to Document

10.1016/j.spl.2012.07.020

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Henderson, D. J., & Parmeter, C. F. (2012). Normal reference bandwidths for the general order, multivariate kernel density derivative estimator. Statistics and Probability Letters, 82(12), 2198-2205. https://doi.org/10.1016/j.spl.2012.07.020

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