کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
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415058 | 681162 | 2012 | 9 صفحه PDF | دانلود رایگان |
In this paper, we propose a new methodology for multivariate kernel density estimation in which data are categorized into low- and high-density regions as an underlying mechanism for assigning adaptive bandwidths. We derive the posterior density of the bandwidth parameters via the Kullback–Leibler divergence criterion and use a Markov chain Monte Carlo (MCMC) sampling algorithm to estimate the adaptive bandwidths. The resulting estimator is referred to as the tail-adaptive density estimator. Monte Carlo simulation results show that the tail-adaptive density estimator outperforms the global-bandwidth density estimators implemented using different global bandwidth selection rules. The inferential potential of the tail-adaptive density estimator is demonstrated by employing the estimator to estimate the bivariate density of daily index returns observed from the USA and Australian stock markets.
Journal: Computational Statistics & Data Analysis - Volume 56, Issue 3, 1 March 2012, Pages 732–740