Fourier series-based direct plug-in bandwidth selectors for kernel density estimation

Abstract

A class of Fourier series-based direct plug-in bandwidth selectors for kernel density estimation is considered in this paper. The proposed bandwidth estimators have a relative convergence rate n ^−1/2 whenever the underlying density is smooth enough and the simulation results testify that they present a very good finite sample performance against the most recommended bandwidth selection methods in the literature.

Keywords:

• bandwidth selection
• kernel density estimation
• direct plug-in method
• Fourier series-based bandwidth selectors

AMS 2010 Subject Classifications :

• 62G07
• 62G20

Acknowledgements

The author expresses his thanks to the referee for the comments and suggestions. This research has been partially supported by the CMUC (Centre for Mathematics, University of Coimbra)/FCT.