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statsmodels.nonparametric.kernel_density.KDEMultivariateConditional.imse

KDEMultivariateConditional.imse(bw)[source]

The integrated mean square error for the conditional KDE.

Parameters:

bw: array_like :

The bandwidth parameter(s).

Returns:

CV: float :

The cross-validation objective function.

Notes

For more details see pp. 156-166 in [R15]. For details on how to handle the mixed variable types see [R16].

The formula for the cross-validation objective function for mixed variable types is:

CV(h,\lambda)=\frac{1}{n}\sum_{l=1}^{n}
\frac{G_{-l}(X_{l})}{\left[\mu_{-l}(X_{l})\right]^{2}}-
\frac{2}{n}\sum_{l=1}^{n}\frac{f_{-l}(X_{l},Y_{l})}{\mu_{-l}(X_{l})}

where

G_{-l}(X_{l}) = n^{-2}\sum_{i\neq l}\sum_{j\neq l}
K_{X_{i},X_{l}} K_{X_{j},X_{l}}K_{Y_{i},Y_{j}}^{(2)}

where K_{X_{i},X_{l}} is the multivariate product kernel and \mu_{-l}(X_{l}) is the leave-one-out estimator of the pdf.

K_{Y_{i},Y_{j}}^{(2)} is the convolution kernel.

The value of the function is minimized by the _cv_ls method of the GenericKDE class to return the bw estimates that minimize the distance between the estimated and “true” probability density.

References

[R15](1, 2) Racine, J., Li, Q. Nonparametric econometrics: theory and practice. Princeton University Press. (2007)
[R16](1, 2) Racine, J., Li, Q. “Nonparametric Estimation of Distributions with Categorical and Continuous Data.” Working Paper. (2000)

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