KDEMultivariate.imse(bw)
[source]
Returns the Integrated Mean Square Error for the unconditional KDE.
Parameters: | bw (array_like) – The bandwidth parameter(s). |
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Returns: | CV – The cross-validation objective function. |
Return type: | float |
See p. 27 in [1] for details on how to handle the multivariate estimation with mixed data types see p.6 in [2].
The formula for the cross-validation objective function is:
Where \(\bar{K}_{h}\) is the multivariate product convolution kernel (consult [2] for mixed data types).
[1] | Racine, J., Li, Q. Nonparametric econometrics: theory and practice. Princeton University Press. (2007) |
[2] | (1, 2) Racine, J., Li, Q. “Nonparametric Estimation of Distributions with Categorical and Continuous Data.” Working Paper. (2000) |
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© 2006 Jonathan E. Taylor
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