Home
Home  >>  Archives  >>  Volume 14 Number 2  >>  st0334

The Stata Journal
Volume 14 Number 2: pp. 237-258



Subscribe to the Stata Journal
cover

Self-consistent density estimation

Joerg Luedicke
Yale University and University of Florida
Gainesville, FL
joerg.luedicke@ufl.edu
Alberto Bernacchia
Jacobs University Bremen
Bremen, Germany
a.bernacchia@jacobs-university.de
Abstract.  Estimating a continuous density function from a finite set of data points is an important tool in many scientific disciplines. Popular nonparametric density estimators include histograms and kernel density methods. These methods require the researcher to control the degree of smoothing inherent in an estimated function. In a recent approach, a new method for nonparametric density estimation was proposed that finds the estimate self-consistently, that is without requiring the researcher to choose a smoothing parameter a priori. In this article, we outline the basic ideas of the self-consistent density estimator, and we present a Stata implementation of the method. In addition, we present results of Monte Carlo simulations that show that the self-consistent estimator performs better than other methods, especially for larger data samples.

View all articles by these authors: Joerg Luedicke, Alberto Bernacchia

View all articles with these keywords: scdensity, density estimation, kernel density, nonparametric statistics, self-consistent density estimator

Download citation: BibTeX  RIS

Download citation and abstract: BibTeX  RIS

Contact StataCorp

Contact service@stata-journal.com if you have questions about the Stata Journal.

© Copyright 2001–2014 StataCorp LP.   Terms of use.   Privacy policy.