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3.5.2.18 Kernelwidth
Definition:
w = kernelwidth( vX ) returns the estimated optimal kernel bandwidth for a given vector vX.
- \[w = 0.9 \sigma n^{-\frac{1}{5}}\]
where n is the size of vector vX, and
- \[ \sigma = \min( \hat{\sigma}, \ IQR/1.349 )\]
, \(\hat{\sigma}\) is the standard deviation of vX, and IQR is the interquartile range of vX.
Parameters:
- vX (input, vector)
- Distributed samples used to estimate bandwidth
- w (output, double)
- Estimated optimal bandwidth for kernel density, \(w > 0\)
Reference
Silverman, B.W. (1986). Density Estimation for Statistics and Data Analysis. Chapman & Hall, London.