bw_select_plugin_multivariate: Plugin bandwidth selection for multivariate data

In lg: Locally Gaussian Distributions: Estimation and Methods

Description

Returns a plugin bandwidth for multivariate data matrices for the estimation of local Gaussian correlations

Usage

bw_select_plugin_multivariate(x = NULL, n = nrow(x), c = 1.75,
  a = -1/6)

Arguments

x	The data matrix.
n	The number of data points. Can provide only this if we do not want to supply the entire data vector.
c	A constant, se details.
a	A constant, se details.

Details

This function takes in a data matrix with n rows, and returns a the real number c*n^a, which is a quick and dirty way of selecting a bandwidth for locally Gaussian density estimation. The number c is by default set to 1.75, and c = -1/6 is the usual exponent, that stems from the asymptotic convergence rate of the density estimate. This function is usually called from the lg_main wrapper function.

Value

A number, the selected bandwidth.

Examples

  x <- cbind(rnorm(100), rnorm(100))
  bw <- bw_select_plugin_multivariate(x = x)
  bw <- bw_select_plugin_multivariate(n = 100)

lg documentation built on Dec. 5, 2019, 5:13 p.m.