bandw1 {boodd} | R Documentation |
Computing the Bandwidth of the Kernel Density Estimators.
Description
The function computes the bandwidth of a smoothed kernel density estimators using Silverman's rule.
Usage
bandw1(y)
Arguments
y |
A numeric vector representing a Markov process of a vector of points. |
Details
The function compute the bandwidth
using the following formula:
h=0.9An^{-1,5},
where A=\min{\left\{\hat{\sigma}; IRQ/1.34\right\}}
, where \hat{\sigma}
is the empirical
standard deviation of the data and IRQ
is the empirical interquartile range.
Value
Value of the Silverman's rule of thumb bandwidth.
References
Tsybakov, A. B. (2018). Introduction to Nonparametric Estimation. SpringerLink.
See Also
findBestEpsilon
,
fastNadaraya
.
Examples
n=200# the length of the process
# Generating the AR(1) process
coeff=0.75
X = arima.sim(n=n, list(ar = c(coeff)))
h = bandw1(X)
[Package boodd version 0.1 Index]