Filtered kernel density estimation
Version of Record online: 30 JUN 2009
Copyright © 2009 John Wiley & Sons, Inc.
Wiley Interdisciplinary Reviews: Computational Statistics
Volume 1, Issue 1, pages 106–109, July/August 2009
How to Cite
Marchette, D. (2009), Filtered kernel density estimation. WIREs Comp Stat, 1: 106–109. doi: 10.1002/wics.17
- Issue online: 13 JUL 2009
- Version of Record online: 30 JUN 2009
- probability density;
- kernel estimator;
- multiple bandwidths;
- mixture model
This article describes a multiple-bandwidth version of the kernel estimator for nonparametric probability density estimation, in which the bandwidths are chosen using a set of functions, called filter functions, which determine the support of the density appropriate to the different bandwidths. These filter functions are usually defined using a normal mixture fit to the data. Thus the estimator uses different bandwidths in different regions of the support of the distribution, as controlled by the filter functions. Copyright © 2009 John Wiley & Sons, Inc.
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