条件概率密度函数核估计的误差分析及其最优带宽的选择
조건개솔밀도함수핵고계적오차분석급기최우대관적선택
On the Error of Kernel Estimation for Conditional PDF and Its Optimal Bandwidth Selection
  • 万方数据
    运筹学学报 운주학학보
    OR TRANSACTIONS
    2008年 3期 13-22 ,共10页

    谢潇衡%何幼桦

    사소형%하유화

    运筹学%条件概率密度%核估计%偏%均方误差(MSE)%最优带宽 運籌學%條件概率密度%覈估計%偏%均方誤差(MSE)%最優帶寬
    운주학%조건개솔밀도%핵고계%편%균방오차(MSE)%최우대관
    Operations research%conditional PDF%Kernel estimate%Bias%MSE%optimal bandwidth
    本文在α-混合严平稳过程的假设下,研究了条件概率密度核估计的偏和均方误差.在此基础上给出了核估计的渐近最优带宽,并以S&P500指数为例展示了本文的结果.
    본문재α-혼합엄평은과정적가설하,연구료조건개솔밀도핵고계적편화균방오차.재차기출상급출료핵고계적점근최우대관,병이S&P500지수위례전시료본문적결과.
    The bias and mean square error for a kernel estimator of the conditional probability density function are studied under the assumption of a-mixing strictly stationaxy process. An asymptotically optimal bandwidth is given, and the results are illustrated with S&P 500 index.
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