Kernel density estimation with adaptive varying window size

A new method of kernel density estimation with a varying adaptive window size is proposed. It is based on the socalled intersection of confidence intervals (ICI) rule. Several examples of the proposed method are given for different types of densities and the quality of the adaptive density estimate is assessed by means of numerical simulations.

• Type: Journal
• Year: 2002
• Where: PRL
• Authors: Vladimir Katkovnik, Ilya Shmulevich
• Keywords: Adaptive Density Estimate, Adaptive Window Size, Kernel Density Estimation, PRL 2002