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

• Autores: Catalina Bolancé Losilla
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 34, Nº. 2, 2010, págs. 223-237
• Idioma: inglés
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• Dialnet Métricas: 6 Citas
• Resumen

  • 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.