# mse_hat: MSE Estimator In kader: Kernel Adaptive Density Estimation and Regression

## Description

Vectorized (in σ) function of the MSE estimator in eq. (2.3) of Srihera & Stute (2011), and of the analogous estimator in the paragraph after eq. (6) in Eichner & Stute (2013).

## Usage

 1 mse_hat(sigma, Ai, Bj, h, K, fnx, ticker = FALSE) 

## Arguments

 sigma Numeric vector (σ_1, …, σ_s) with s ≥ 1. Ai Numeric vector expecting (x_0 - X_1, …, x_0 - X_n) / h, where (usually) x_0 is the point at which the density is to be estimated for the data X_1, …, X_n with h = n^{-1/5}. Bj Numeric vector expecting (-J(1/n), …, -J(n/n)) in case of the rank transformation method, but (\hat{θ} - X_1, …, \hat{θ} - X_n) in case of the non-robust Srihera-Stute-method. (Note that this the same as argument Bj of adaptive_fnhat!) h Numeric scalar, where (usually) h = n^{-1/5}. K Kernel function with vectorized in- & output. fnx f_n(x_0) = mean(K(Ai))/h, where here typically h = n^{-1/5}. ticker Logical; determines if a 'ticker' documents the iteration progress through sigma. Defaults to FALSE.

## Value

A vector with corresponding MSE values for the values in sigma.

## See Also

For details see bias_AND_scaledvar.

## Examples

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 require(stats) set.seed(2017); n <- 100; Xdata <- sort(rnorm(n)) x0 <- 1; Sigma <- seq(0.01, 10, length = 11) h <- n^(-1/5) Ai <- (x0 - Xdata)/h fnx0 <- mean(dnorm(Ai)) / h # Parzen-Rosenblatt estimator at x0. # non-robust method: theta.X <- mean(Xdata) - Xdata kader:::mse_hat(sigma = Sigma, Ai = Ai, Bj = theta.X, h = h, K = dnorm, fnx = fnx0, ticker = TRUE) # rank transformation-based method (requires sorted data): negJ <- -J_admissible(1:n / n) # rank trafo kader:::mse_hat(sigma = Sigma, Ai = Ai, Bj = negJ, h = h, K = dnorm, fnx = fnx0, ticker = TRUE) 

kader documentation built on May 1, 2019, 10:13 p.m.