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Title: Optimal Inverse Beta (3,3) Transformation in Kernel Density Estimation
Author: Bolancé Losilla, Catalina
Keywords: Econometria
Anàlisi funcional
Functional analysis
Issue Date: 2010
Publisher: Institut d'Estadística de Catalunya
Abstract: A double transformation kernel density estimator that is suitable for heavy-tailed distributions is presented. Using a double transformation, an asymptotically optimal bandwidth parameter can be calculated when minimizing the expression of the asymptotic mean integrated squared error of the transformed variable. Simulation results are presented showing that this approach performs better than existing alternatives. An application to insurance claim cost data is included.
Note: Reproducció del document publicat a:
It is part of: Sort (Statistics and Operations Research Transactions), 2010, vol. 34, num. 2, p. 223-238
ISSN: 1696-2281
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

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