\(\hat f(x) = (nh)^{-1}\sum K((x - X_i)/h)\). The MISE-optimal
bandwidth is of order \(n^{-1/5}\), giving the \(n^{-2/5}\)
rate – slower than parametric and not improvable for a
twice-differentiable density, which is why the book builds root-n
functionals of this object rather than using it directly.
Mirrors morie.fn.hrzkde.
Usage
morie_kde_h(x, grid = NULL, h = NULL)
Arguments
- x
numeric sample.
- grid
evaluation points; a spanning grid when NULL.
- h
bandwidth; .hrz_silverman when NULL.
Value
list: grid, density, bandwidth, rate_exponent, n.
References
Horowitz, J. L. Semiparametric and Nonparametric
Methods in Econometrics. Springer. Appendix (pp. 233-255, KDE).
