Re: [Gretl-devel] bandwidth default for nadarwat()

Am 23.05.2018 um 15:48 schrieb Andreï V. Kostyrka: > But why not Silverman’s rule-of-thumb estimator (1.06*sd(X)*n^-0.2)? The > optimal bandwidth *should* be of *order* n^-0.2, but should also depend on > the spread of X! The exact formula is (R(K)/(\sigma^2_K*R(f'')))^-0.2 * > n^-0.2, where R(f'') depends on the actual density and therefore the > distribution of X’s, and therefore, its spread. > If I have a dataset, say, with length/weight data, it would be very silly > to use the same bandwidth for length in metres and for length in > millimetres because it would over-smooth in the first case and under-smooth > in the second! > For reference, see Scott (2015) “Multivariate estimation”, 2e, p. 144, > “Normal reference rule”. > R uses this rule by default (bw.nrd). In fact, it guards against outliers > by using 1.06*min(sd(X), IQR(X)/1.34)*n^-0.2. What you're saying makes sense I think. (I haven't used this estimator myself yet.) > Or is anyone in favour of the old rule for the sake of backwards > compatibility? Fortunately there is no compatibility issue here, because there never has been a default. So far it was just a remark in the docs. So should we go with this default?