statsmodels.nonparametric.kernel_density.KDEMultivariate.imse¶

KDEMultivariate.imse(bw)[source]¶

Returns the Integrated Mean Square Error for the unconditional KDE.

Parameters:¶

bwarray_like

The bandwidth parameter(s).

Returns:¶

CVfloat

The cross-validation objective function.

Notes

See p. 27 in [1] for details on how to handle the multivariate estimation with mixed data types see p.6 in [2].

The formula for the cross-validation objective function is:

$$CV=\frac{1}{n^2}\sum _{i=1}^n\sum _{j=1}^N{\overline{K}}_h(X_i,X_j)-\frac{2}{n(n-1)}\sum _{i=1}^n\sum _{j=1,j\ne i}^N{K}_h(X_i,X_j)$$

Where ${\overline{K}}_h$ is the multivariate product convolution kernel (consult [2] for mixed data types).

References

[1]

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

[2] (1,2)

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