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]