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Title: Data-Based Choice of the Number of Pilot Stages for Plug-in Bandwidth Selection
Authors: Chacón, J. E. 
Tenreiro, C. 
Issue Date: 2013
Project: CMUC/FCT 
Serial title, monograph or event: Communications in Statistics - Theory and Methods
Volume: 42
Issue: 12
Abstract: The choice of the bandwidth is a crucial issue for kernel density estimation. Among all the data-dependent methods for choosing the bandwidth, the direct plug-in method has shown a particularly good performance in practice. This procedure is based on estimating an asymptotic approximation of the optimal bandwidth, using two `pilot' kernel estimation stages. Although two pilot stages seem to be enough for most densities, for a long time the problem of how to choose an appropriate number of stages has remained open. Here we propose an automatic (i.e., data-based) method for choosing the number of stages to be employed in the plug-in bandwidth selector. Asymptotic properties of the method are presented and an extensive simulation study is carried out to compare its small-sample performance with that of the most recommended bandwidth selectors in the literature.
DOI: 10.1080/03610926.2011.606486
Rights: embargoedAccess
Appears in Collections:I&D CMUC - Artigos em Revistas Internacionais

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