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Bandwidth Selection for Multivariate Kernel Density Estimation Using Mcmc

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journal contribution
posted on 08.06.2017, 00:39 by Zhang, Xibin, King, Maxwell L., Hyndman, Rob J.
Paper not available. Full text of working paper suppressed by author. We provide Markov chain Monte Carlo (MCMC) algorithms for computing the bandwidth matrix for multivariate kernel density estimation. Our approach is based on treating the elements of the bandwidth matrix as parameters to be estimated, which we do by optimizing the likelihood cross-validation criterion. Numerical results show that the resulting bandwidths are superior to all existing methods; for dimensions greater than two, our algorithm is the first practical method for estimating the optimal bandwidth matrix. Moreover, the MCMC algorithm for bandwidth selection for multivariate data has no increased difficulty as the dimension of data increases.


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Department of Econometrics and Business Statistics