Estimates the optimal bandwidth for 1-dimensional highest density regions
Arguments
- x
Numerical vector containing data.
- HDRlevel
HDR-level as defined in Hyndman (1996). Setting `HDRlevel' equal to p (0<p<1) corresponds to a probability of 1-p of inclusion in the highest density region.
- gridsize
the number of equally spaced points used for binned kernel density estimation.
- nMChdr
the size of the Monte Carlo sample used for density quantile approximation of the highest density region, as described in Hyndman (1996).
- graphProgress
logical flag: if `TRUE' then plots showing the progress of the bandwidth selection algorithm are produced.
Details
This is a plug-in rule for bandwidth selection tailored to highest density region estimation
References
Hyndman, R.J. (1996). Computing and graphing highest density regions. The American Statistician, 50, 120-126.
Samworth, R.J. and Wand, M.P. (2010). Asymptotics and optimal bandwidth selection for highest density region estimation. The Annals of Statistics, 38, 1767-1792.
Examples
HDRlevelVal <- 0.55
x <- faithful$eruptions
hHDR <- hdrbw(x,HDRlevelVal)
HDRhat <- hdr.den(x,prob=100*(1-HDRlevelVal),h=hHDR)
