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fer
2002 Jun 28
1
integrate function fails! (PR#1718)
...nium
Submission from: (NULL) (158.49.28.155)
Dear reader:
I was trying to evaluate the L2 error produced when estimating the density
function N(0,1) from a sample of size 100 using a kernel density estimate. It
produced a strange value. You can reproduce the process by typing
samp<-rnorm(100)
fker<-function(x,h){sum(dnorm((rep(x,100)-samp)/h))/(100*h)}
integrand<-function(x){(fker(x,5)-dnorm(x))^2}
err<-integrate(integrand,-Inf,Inf)
This value err of the L2 error is generally far from accurate. fker is the
kernel density estimate with bandwidth h and Gaussian kernel. Obviously, h=5...