• Title/Summary/Keyword: 편의교차타당성

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Bandwidth selections based on cross-validation for estimation of a discontinuity point in density (교차타당성을 이용한 확률밀도함수의 불연속점 추정의 띠폭 선택)

  • Huh, Jib
    • Journal of the Korean Data and Information Science Society
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    • v.23 no.4
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    • pp.765-775
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    • 2012
  • The cross-validation is a popular method to select bandwidth in all types of kernel estimation. The maximum likelihood cross-validation, the least squares cross-validation and biased cross-validation have been proposed for bandwidth selection in kernel density estimation. In the case that the probability density function has a discontinuity point, Huh (2012) proposed a method of bandwidth selection using the maximum likelihood cross-validation. In this paper, two forms of cross-validation with the one-sided kernel function are proposed for bandwidth selection to estimate the location and jump size of the discontinuity point of density. These methods are motivated by the least squares cross-validation and the biased cross-validation. By simulated examples, the finite sample performances of two proposed methods with the one of Huh (2012) are compared.