3.8.5.3.3.1.3. statsmodels.nonparametric.kernel_density.KDEMultivariate.imse

KDEMultivariate.imse(bw)

Returns the Integrated Mean Square Error for the unconditional KDE.

Parameters:

bw: array_like

The bandwidth parameter(s).

Returns:

CV: float

The cross-validation objective function.

Notes

See p. 27 in [R37] for details on how to handle the multivariate estimation with mixed data types see p.6 in [R38].

The formula for the cross-validation objective function is:

\[CV=\frac{1}{n^{2}}\sum_{i=1}^{n}\sum_{j=1}^{N} \bar{K}_{h}(X_{i},X_{j})-\frac{2}{n(n-1)}\sum_{i=1}^{n} \sum_{j=1,j\neq i}^{N}K_{h}(X_{i},X_{j})\]

Where \(\bar{K}_{h}\) is the multivariate product convolution kernel (consult [R38] for mixed data types).

References

[R37]

(1, 2) Racine, J., Li, Q. Nonparametric econometrics: theory and practice. Princeton University Press. (2007)

[R38]

(1, 2, 3) Racine, J., Li, Q. “Nonparametric Estimation of Distributions with Categorical and Continuous Data.” Working Paper. (2000)