| bandwidth | R Documentation |
Bandwidth selectors for Gaussian kernels in density.
bw.nrd0(x)
bw.nrd(x)
bw.ucv(x, nb = 1000, lower = 0.1 * hmax, upper = hmax,
tol = 0.1 * lower)
bw.bcv(x, nb = 1000, lower = 0.1 * hmax, upper = hmax,
tol = 0.1 * lower)
bw.SJ(x, nb = 1000, lower = 0.1 * hmax, upper = hmax,
method = c("ste", "dpi"), tol = 0.1 * lower)
x |
numeric vector. |
nb |
number of bins to use. |
lower, upper |
range over which to minimize. The default is
almost always satisfactory. |
method |
either |
tol |
for method |
bw.nrd0 implements a rule-of-thumb for
choosing the bandwidth of a Gaussian kernel density estimator.
It defaults to 0.9 times the
minimum of the standard deviation and the interquartile range divided by
1.34 times the sample size to the negative one-fifth power
(= Silverman's ‘rule of thumb’, Silverman (1986, page 48, eqn (3.31)))
unless the quartiles coincide when a positive result
will be guaranteed.
bw.nrd is the more common variation given by Scott (1992),
using factor 1.06.
bw.ucv and bw.bcv implement unbiased and
biased cross-validation respectively.
bw.SJ implements the methods of Sheather & Jones (1991)
to select the bandwidth using pilot estimation of derivatives.
The algorithm for method "ste" solves an equation (via
uniroot) and because of that, enlarges the interval
c(lower, upper) when the boundaries were not user-specified and
do not bracket the root.
The last three methods use all pairwise binned distances: they are of
complexity O(n^2) up to n = nb/2 and O(n)
thereafter. Because of the binning, the results differ slightly when
x is translated or sign-flipped.
A bandwidth on a scale suitable for the bw argument
of density.
Long vectors x are not supported, but neither are they by
density and kernel density estimation and for more than
a few thousand points a histogram would be preferred.
B. D. Ripley, taken from early versions of package MASS.
Scott, D. W. (1992) Multivariate Density Estimation: Theory, Practice, and Visualization. New York: Wiley.
Sheather, S. J. and Jones, M. C. (1991). A reliable data-based bandwidth selection method for kernel density estimation. Journal of the Royal Statistical Society series B, 53, 683–690. \Sexpr[results=rd,stage=build]{tools:::Rd_expr_doi("10.1111/j.2517-6161.1991.tb01857.x")}. https://www.jstor.org/stable/2345597.
Silverman, B. W. (1986). Density Estimation. London: Chapman and Hall.
Venables, W. N. and Ripley, B. D. (2002). Modern Applied Statistics with S. Springer.
density.
bandwidth.nrd, ucv,
bcv and width.SJ in
package MASS, which are all scaled to the width argument
of density and so give answers four times as large.
require(graphics)
plot(density(precip, n = 1000))
rug(precip)
lines(density(precip, bw = "nrd"), col = 2)
lines(density(precip, bw = "ucv"), col = 3)
lines(density(precip, bw = "bcv"), col = 4)
lines(density(precip, bw = "SJ-ste"), col = 5)
lines(density(precip, bw = "SJ-dpi"), col = 6)
legend(55, 0.035,
legend = c("nrd0", "nrd", "ucv", "bcv", "SJ-ste", "SJ-dpi"),
col = 1:6, lty = 1)
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