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Empirical Choice of Histograms and Kernel Density Estimators
Scandinavian Journal of Statistics
Vol. 9, No. 2 (1982), pp. 65-78
Published by: Wiley on behalf of Board of the Foundation of the Scandinavian Journal of Statistics
Stable URL: http://www.jstor.org/stable/4615859
Page Count: 14
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Methods of choosing histogram width and the smoothing parameter of kernel density estimators by use of data are studied. They are based on estimators of risk functions corresponding to mean integrated squared error and the Kullback-Leibler information measure. Two closely related risk function estimators are given, one of which is derived from cross-validation. In examples with simulated and real data the methods are applied to estimation of probability densities and the rate function of a time-dependent Poisson process.
Scandinavian Journal of Statistics © 1982 Board of the Foundation of the Scandinavian Journal of Statistics