Density estimation for clustered data

Robert V. Breunig*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    11 Citations (Scopus)


    The commonly used survey technique of clustering introduces dependence into sample data. Such data is frequently used in economic analysis, though the dependence induced by the sample structure of the data is often ignored. In this paper, the effect of clustering on the non-parametric, kernel estimate of the density, f(x), is examined. The window width commonly used for density estimation for the case of i.i.d. data is shown to no longer be optimal. A new optimal bandwidth using a higher-order kernel is proposed and is shown to give a smaller integrated mean squared error than two window widths which are widely used for the case of i.i.d. data. Several illustrations from simulation are provided.

    Original languageEnglish
    Pages (from-to)353-367
    Number of pages15
    JournalEconometric Reviews
    Issue number3
    Publication statusPublished - 2001


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