Bandwidth selection for kernel conditional density estimation
Computational Statistics & Data Analysis
Parallel distributed kernel estimation
Computational Statistics & Data Analysis
Improved Fast Gauss Transform and Efficient Kernel Density Estimation
ICCV '03 Proceedings of the Ninth IEEE International Conference on Computer Vision - Volume 2
IEEE Transactions on Pattern Analysis and Machine Intelligence
Nonparametric Quantile Estimation
The Journal of Machine Learning Research
Editorial: 3rd Special issue on matrix computations and statistics
Computational Statistics & Data Analysis
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Nonparametric conditional density functions are widely used in applied econometric and statistical modelling because they provide enriched information summaries of the relationships between dependent and independent variables. Although least-squares cross-validation is considered to be the best criterion for bandwidth selection of the kernel estimator of the conditional density, the number of computations required for this procedure grows exponentially as the number of observations increases. A fast algorithm is proposed to reduce this computational cost, and its accuracy and efficiency are verified via numerical experiments. A practical application is also presented to demonstrate the algorithm's potential usefulness.