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Bandwidth selection for kernel conditional density estimation. (English) Zbl 1038.62034
We consider bandwidth selection for kernel estimators of conditional densities with one explanatory variable. Several bandwidth selection methods are derived, ranging from fast rules-of-thumb which assume the underlying densities are known to relatively slow procedures which use the bootstrap. The methods are compared and a practical bandwidth selection strategy which combines the methods is proposed. The methods are compared using two simulation studies and a real data set.

MSC:
62G07 Density estimation
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