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Apr 8

Nonparametric Density Estimation

Posted by abiao at 16:11 | Code » Matlab | Comments(0) | Reads(9301)
A simple, straightforward way to estimate density nonparametrically is kernel density estimator, for instance, in R a built-in function density() is for this, with different kernel choices "gaussian", "epanechnikov", "rectangular", "triangular", "biweight", "cosine", and "optcosine". Should you are unhappy with this function and eager for an extention, take a look at the following papers and associated codes:

"Exact Mean Integrated Squared Error of Higher-Order Kernels" Econometric Theory (2005).
"Bandwidth Selection for Nonparametric Distribution Estimation" unpublished working paper (2004).
"Nonparametric Estimation of Smooth Conditional Distributions" unpublished working paper (2004).
"Interval Forecasts and Parameter Uncertainty" Journal of Econometrics (2006).


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