cde.bandwidths: Bandwidth calculation for conditional density estimation

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/cde.bandwidths.R

Description

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

Usage

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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

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    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 Sept. 16, 2020, 5:02 a.m.