R: Highest Density Region Bandwidth

hdrbw {hdrcde} | R Documentation

## Highest Density Region Bandwidth

### Description

Estimates the optimal bandwidth for 1-dimensional highest density regions

### Usage

    hdrbw(x, HDRlevel, gridsize = 801, nMChdr = 1e+06, graphProgress = FALSE)

### 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

### Value

A numerical vector of length 1.

### Author(s)

Matt Wand

### 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)

[Package hdrcde version 3.4 Index]