Data Based Algorithm for Choosing the Window Width when Estimating the Integral of f2(x)

摘要

A review of different density estimation approaches is given. A new data-based algorithm for choosing the window width when estimating gamma using methods of kernel density estimation is described. The results of a Monte Carlo study comparing the data-based window widths produced by the new algorithm with those produced by an existing method are also presented. Finally, an estimator which is stable over a broad set of sampling situations is recommended.