Bandwidth Selection for Weighted Kernel Density Estimation

Understand

In the this paper, the authors propose to estimate the density of a targeted population with a weighted kernel density estimator (wKDE) based on a weighted sample.

• Bandwidth selection for wKDE is discussed.
• Three mean integrated squared error based bandwidth estimators are introduced and their performance is illustrated via Monte Carlo simulation.
• The least-squares cross-validation method and the adaptive weight kernel density estimator are also studied.