Jones, M. C. and Henderson, D. A.
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|DOI (Digital Object Identifier) Link:||http://doi.org/10.1093/biomet/asm068|
|Google Scholar:||Look up in Google Scholar|
We consider kernel-type methods for the estimation of a density on 0,1 which eschew explicit boundary correction. We propose using kernels that are symmetric in their two arguments; these kernels are conditional densities of bivariate copulas. We give asymptotic theory for the version of the new estimator using Gaussian copula kernels and report on simulation comparisons of it with the beta-kernel density estimator of Chen (). We also provide automatic bandwidth selection in the form of 'rule-of-thumb' bandwidths for both estimators. As well as its competitive integrated squared error performance, advantages of the new approach include its greater range of possible values at 0 and 1, the fact that it is a bona fide density and that the individual kernels and resulting estimator are comprehensible in terms of a single simple picture.
|Item Type:||Journal Article|
|Copyright Holders:||2007 Biometrika Trust|
|Keywords:||boundary behaviour; copula; kernel density estimation|
|Academic Unit/Department:||Faculty of Science, Technology, Engineering and Mathematics (STEM) > Mathematics and Statistics
Faculty of Science, Technology, Engineering and Mathematics (STEM)
|Depositing User:||Sarah Frain|
|Date Deposited:||19 Aug 2010 12:38|
|Last Modified:||04 Oct 2016 23:59|
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