Stochastic kernel estimation
Appearance
A stochastic kernel is the transition function of a (usually discrete) stochastic process. Often, it is assumed to be iid, thus a probability density function.
Formally a density can be
- ,
where is the observed series, y is its mean, is the bandwith, and K is the kernel function.
Examples
- The uniform kernel is for .
- The triangular kernel is for .
- The quartic kernel is for .
- The Epanechnikov kernel is for .