Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method

摘要

A general and efficient nonparametric density estimation procedure for local bases, including B-splines, is proposed, which employs a novel statistical Galerkin method combined with basis duality theory. To select the bandwidth, an efficient cross-validation procedure is introduced, based on closed-form expressions in terms of the primal and dual B-spline basis. By utilizing a closed-form expression for the dual basis, the least-squares cross validation formula is calculated in closed-form, enabling an efficient estimation of the optimal bandwidth. The full computational procedure achieves optimal complexity, and is very accurate in comparison with existing estimation procedures, including state-of-the-art kernel density estimators. The presented theoretical results are supported by extensive numerical experiments, which demonstrate the efficiency and accuracy of the new methodology. This new approach provides a complete and optimally efficient framework for density estimation with a B-spline basis, based on simple and elegant closed-form estimators with theoretical convergence results that are substantiated in numerical experiments. (C) 2021 Elsevier B.V. All rights reserved.