Hlscv, Hlscv.diag: Least-squares cross-validation (LSCV) bandwidth matrix selector for multivariate data

Description

LSCV bandwidth matrix for 2- to 6-dimensional data

Usage

Hlscv(x, Hstart)
Hlscv.diag(x, Hstart)

Arguments

matrix of data values

Hstart

initial bandwidth matrix, used in numerical optimisation

Value

LSCV bandwidth matrix.

Details

Use Hlscv for full bandwidth matrices and Hlscv.diag for diagonal bandwidth matrices.

If Hstart is not given then it defaults to k*var(x) where k = $\left[\frac{4}{n(d+2)}\right]^{2/(d+4)}$, n = sample size, d = dimension of data.

References

Sain, S.R, Baggerly, K.A & Scott, D.W. (1994) Cross-validation of multivariate densities. Journal of the American Statistical Association. 82, 1131-1146.

Duong, T. & Hazelton, M.L. (2005) Cross-validation bandwidth matrices for multivariate kernel density estimation. Scandinavian Journal of Statistics. 32, 485-506.

Examples

Run this code

data(unicef)
Hlscv(unicef)
Hlscv.diag(unicef)

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