Robust Likelihood Cross-Validation for Kernel Density Estimation Academic Article uri icon

abstract

  • & #xa9; 2018 American Statistical Association Likelihood cross-validation for kernel density estimation is known to be sensitive to extreme observations and heavy-tailed distributions. We propose a robust likelihood-based cross-validation method to select bandwidths in multivariate density estimations. We derive this bandwidth selector within the framework of robust maximum likelihood estimation. This method establishes a smooth transition from likelihood cross-validation for nonextreme observations to least squares cross-validation for extreme observations, thereby combining the efficiency of likelihood cross-validation and the robustness of least-squares cross-validation. We also suggest a simple rule to select the transition threshold. We demonstrate the finite sample performance and practical usefulness of the proposed method via Monte Carlo simulations and a real data application on Chinese air pollution.

author list (cited authors)

  • Wu, X.

citation count

  • 4

publication date

  • June 2018