Cross-validation bandwidth matrices for multivariate kernel density estimation

  title={Cross-validation bandwidth matrices for multivariate kernel density estimation},
  author={T. Duong and M. Hazelton},
  journal={Scandinavian Journal of Statistics},
  • T. Duong, M. Hazelton
  • Published 2005
  • Mathematics
  • Scandinavian Journal of Statistics
  • The performance of multivariate kernel density estimates depends crucially on the choice of bandwidth matrix, but progress towards developing good bandwidth matrix selectors has been relatively slow. In particular, previous studies of cross-validation (CV) methods have been restricted to biased and unbiased CV selection of diagonal bandwidth matrices. However, for certain types of target density the use of full (i.e. unconstrained) bandwidth matrices offers the potential for significantly… CONTINUE READING
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