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L. A Markovich

Publications and source records attributed to L. A Markovich.

4 recordsLinked to original sources

Data-driven bandwidth choice for gamma kernel estimates of density derivatives on the positive semi-axis

In some applications it is necessary to estimate derivatives of probability densities defined on the positive semi-axis. The quality of nonparametric estimates of the probability densities and their derivatives are strongly influenced by smoothing parameters (bandwidths). In this paper an expression for the optimal smoothing parameter of the gamma kernel estimate of the density derivative is obtained. For this parameter data-driven estimates based on methods called "rule of thumb" and "cross-validation" are constructed. The quality of the estimates is verified and demonstrated on examples of density derivatives generated by Maxwell and Weibull distributions.

math.PR

Nonparametric gamma kernel estimators of density derivatives on positive semiaxis

We consider nonparametric estimation of the derivative of a probability density function with the bounded support on $[0,\infty)$. Estimates are looked up in the class of estimates with asymmetric gamma kernel functions. The use of gamma kernels is due to the fact they are nonnegative, change their shape depending on the position on the semi-axis and possess other good properties. We found analytical expressions for bias, variance, mean integrated squared error (MISE) of the derivative estimate. An optimal bandwidth, the optimal MISE, and rate of mean square convergence of the estimates for density derivative have also been found.

math.PR