Improving bias in kernel density estimation

Mynbaev, Kairat and Nadarajah, Saralees and Withers, Christopher and Aipenova, Aziza (2014): Improving bias in kernel density estimation. Published in: Statistics and Probability Letters , Vol. 94, (2014): pp. 106-112.

Abstract

For order $q$ kernel density estimators we show that the constant $b_q$ in $bias=b_qh^q+o(h^q)$ can be made arbitrarily small, while keeping the variance bounded. A data-based selection of bq is presented and Monte Carlo simulations illustrate the advantages of the method.

• Item Type: MPRA Paper
• Language: English
• Keywords: Density estimation, bias, higher order kernel
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General

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