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

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2010 Spain English Publisher:Institut d'Estadística de CatalunyaJournal:SORT- Statistics and Operations Research Transactions

Authors: Bolancé, Catalina;

handle: 2099/11229 , 2445/111235 , 20.500.11797/RP2311

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

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Abstract

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

Peer Reviewed

Country

Spain

Related Organizations

Universitat Politècnica de Catalunya
Spain
University of Barcelona
Spain
Autonomous University of Barcelona
Spain
Universitat Polite`cnica de Catalunya
Spain

Keywords

Estadística matemàtica, Beta density, Right skewness., Kernel density estimation, Transformations, Functional analysis, Right skewness, :62 Statistics::62G Nonparametric inference [Classificació AMS], Mathematical statistics, Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica, :Matemàtiques i estadística::Estadística matemàtica [Àrees temàtiques de la UPC], Anàlisi funcional, Econometrics, Classificació AMS::62 Statistics::62G Nonparametric inference, Econometria

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