Optimal inverse Beta(3,3) transformation in kernel density estimation

被引：0
|
作者：
Bolance, Catalina [1 ]
机构：
[1] Univ Barcelona, Dept Econometr, Barcelona 08034, Spain
来源：
SORT-STATISTICS AND OPERATIONS RESEARCH TRANSACTIONS | 2010年 / 34卷 / 02期
关键词：
Kernel density estimation; transformations; Beta density; right skewness;
D O I：
暂无
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
A double transformation kernel density estimator that is suitable for heavy-tailed distributions is presented. Using a double transformation, an asymptotically optimal bandwidth parameter can be calculated when minimizing the expression of the asymptotic mean integrated squared error of the transformed variable. Simulation results are presented showing that this approach performs better than existing alternatives. An application to insurance claim cost data is included.
引用
收藏
页码：223 / 237
页数：15
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