cde.bandwidths: Bandwidth calculation for conditional density estimation

In robjhyndman/hdrcde: Highest Density Regions and Conditional Density Estimation

Bandwidth calculation for conditional density estimation

Description

Calculates bandwidths for kernel conditional density estimates. Methods described in Bashtannyk and Hyndman (2001) and Hyndman and Yao (2002).

Usage

cde.bandwidths(
  x,
  y,
  deg = 0,
  link = "identity",
  method = 1,
  y.margin,
  passes = 2,
  ngrid = 8,
  min.a = NULL,
  ny = 25,
  use.sample = FALSE,
  GCV = TRUE,
  b = NULL,
  ...
)

Arguments

x	Numerical vector: the conditioning variable.
y	Numerical vector: the response variable.
deg	Degree of local polynomial used in estimation.
link	Link function used in estimation. Default "identity". The other possibility is "log" which is recommended if degree > 0.
method	method = 1: Hyndman-Yao algorithm if deg>0; Bashtannyk-Hyndman algorithm if deg=0; method = 2: Normal reference rules; method = 3: Bashtannyk-Hyndman regression method if deg=0; method = 4: Bashtannyk-Hyndman bootstrap method if deg=0.
y.margin	Values in y-space on which conditional density is calculated. If not specified, an equi-spaced grid of 50 values over the range of y is used.
passes	Number of passes through Bashtannyk-Hyndman algorithm.
ngrid	Number of values of smoothing parameter in grid.
min.a	Smallest value of a to consider if method=1.
ny	Number of values to use for y margin if y.margin is missing.
use.sample	Used when regression method (3) is chosen.
GCV	Generalized cross-validation. Used only if method=1 and deg>0. If GCV=FALSE, method=1 and deg=0, then the AIC is used instead. The argument is ignored if deg=0 or method>1.
b	Value of b can be specified only if method=1 and deg>0. For deg=0 or method>1, this argument is ignored.
...	Other arguments control details for individual methods.

Details

Details of the various algorithms are in Bashtannyk and Hyndman (2001) and Hyndman and Yao (2002).

Value

a	Window width in x direction.
b	Window width in y direction.

Author(s)

Rob J Hyndman

References

Hyndman, R.J., Bashtannyk, D.M. and Grunwald, G.K. (1996) "Estimating and visualizing conditional densities". Journal of Computational and Graphical Statistics, 5, 315-336.

Bashtannyk, D.M., and Hyndman, R.J. (2001) "Bandwidth selection for kernel conditional density estimation". Computational statistics and data analysis, 36(3), 279-298.

Hyndman, R.J. and Yao, Q. (2002) "Nonparametric estimation and symmetry tests for conditional density functions". Journal of Nonparametric Statistics, 14(3), 259-278.

See Also

cde

Examples

bands <- cde.bandwidths(faithful$waiting,faithful$eruptions,method=2)
plot(cde(faithful$waiting,faithful$eruptions,a=bands$a,b=bands$b))

robjhyndman/hdrcde documentation built on July 31, 2023, 2:14 a.m.