Bayesian Approaches to Non-parametric Estimation of Densities on the Unit Interval

Song Li (), Mervyn J. Silvapulle (), Param Silvapulle () and Xibin Zhang ()

No 3/12, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper investigates nonparametric estimation of density on [0,1]. The kernel estimator of density on [0,1] has been found to be sensitive to both bandwidth and kernel. This paper proposes a unified Bayesian framework for choosing both the bandwidth and kernel function. In a simulation study, the Bayesian bandwidth estimator performed better than others, and kernel estimators were sensitive to the choice of the kernel and the shapes of the population densities on [0,1]. The simulation and empirical results demonstrate that the methods proposed in this paper can improve the way the probability densities on [0,1] are presently estimated.

Keywords: Asymmetric kernel; Bayes factor; boundary bias; kernel selection; marginal likelihood; recovery-rate density (search for similar items in EconPapers)
JEL-codes: C11 C14 C15 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2012-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://business.monash.edu/econometrics-and-busine ... tions/ebs/wp3-12.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp3-12.pdf [301 Moved Permanently]--> https://business.monash.edu/econometrics-and-business-statistics/research/publications/ebs/wp3-12.pdf [301 Moved Permanently]--> https://www.monash.edu/business/econometrics-and-business-statistics/research/publications/ebs/wp3-12.pdf)

Related works:
Journal Article: Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:msh:ebswps:2012-3

Ordering information: This working paper can be ordered from
http://business.mona ... -business-statistics

Access Statistics for this paper

More papers in Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics PO Box 11E, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Professor Xibin Zhang ().