Description Usage Arguments Details Value Author(s) References See Also Examples
The (S3) generic function h.tcv
computes the trimmed
cross-validation bandwidth selector of r'th derivative of
kernel density estimator one-dimensional.
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x |
vector of data values. |
deriv.order |
derivative order (scalar). |
lower, upper |
range over which to minimize. The default is
almost always satisfactory. |
tol |
the convergence tolerance for |
kernel |
a character string giving the smoothing kernel to be used, with default
|
... |
further arguments for (non-default) methods. |
h.tcv
trimmed cross-validation implements for choosing the bandwidth h
of a r'th derivative kernel density estimator.
Feluch and Koronacki (1992) proposed a so-called trimmed cross-validation (TCV) in kernel density estimator, a simple modification of the unbiased (least-squares) cross-validation criterion. We consider the following "trimmed" version of "unbiased", to be minimized with respect to h:
int (hat(f)(x;r))^2 - 2 (-1)^r / n (n-1)h^(2r+1) sum(sum(K(x(j)-x(i)/h;2r)),i=1...n,j=1...n, j!=i) chi(|X(i)-X(j)| > c(n))
where chi(.) denotes the indicator function and c(n) is a sequence of positive constants, c(n)/h^(2r+1) --> 0 as n --> Inf, and
int (hat(f)(x;r))^2 dx = R(k(x;r))/n h^(2r+1) + (-1)^r / n (n-1) h^(2r+1) sum(sum(K(.;r)*K(.;r)(x(j)-x(i)/h)), i=1...n, j=1...n, j != i)
the trimmed cross-validation function is defined by:
TCV(h;r) = R(K(x;r))/ n h^(2r+1) + (-1)^r / n (n-1) h^(2r+1) sum( sum(varphi(x(j)-x(i)/h;r) ),i=1...n,j=1...n,j != i)
whit
varphi(c;r)= K(c;r)*K(c;r) - 2 K(c;2r) chi( |c| > c(n)/h^(2r+1) )
here we take c(n) = 1/n, for assure the convergence. Where K(x;r)*K(x;r) is the convolution of the r'th derivative kernel function K(x;r)
(see kernel.conv
and kernel.fun
).
The range over which to minimize is hos
Oversmoothing bandwidth, the default is almost always
satisfactory. See George and Scott (1985), George (1990), Scott (1992, pp 165), Wand and Jones (1995, pp 61).
x |
data points - same as input. |
data.name |
the deparsed name of the |
n |
the sample size after elimination of missing values. |
kernel |
name of kernel to use |
deriv.order |
the derivative order to use. |
h |
value of bandwidth parameter. |
min.tcv |
the minimal TCV value. |
Arsalane Chouaib Guidoum acguidoum@usthb.dz
Feluch, W. and Koronacki, J. (1992). A note on modified cross-validation in density estimation. Computational Statistics and Data Analysis, 13, 143–151.
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