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Estimating multivariate density and its derivatives for mixed measurement error data

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  • Guo, Linruo
  • Song, Weixing
  • Shi, Jianhong

Abstract

In this paper, we propose a nonparametric mixed kernel estimator for a multivariate density function and its derivatives when the data are contaminated with different sources of measurement errors. The proposed estimator is a mixture of the classical and the deconvolution kernels, accounting for the error-free and error-prone variables, respectively. Large sample properties of the proposed nonparametric estimator, including the order of the mean squares error, the consistency, and the asymptotic normality, are thoroughly investigated. The optimal convergence rates among all nonparametric estimators for different measurement error structures are derived, and it is shown that the proposed mixed kernel estimators achieve the optimal convergence rate. A simulation study is conducted to evaluate the finite sample performance of the proposed estimators.

Suggested Citation

  • Guo, Linruo & Song, Weixing & Shi, Jianhong, 2022. "Estimating multivariate density and its derivatives for mixed measurement error data," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
  • Handle: RePEc:eee:jmvana:v:191:y:2022:i:c:s0047259x22000367
    DOI: 10.1016/j.jmva.2022.105005
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    References listed on IDEAS

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    1. Masry, E., 1993. "Asymptotic Normality for Deconvolution Estimators of Multivariate Densities of Stationary Processes," Journal of Multivariate Analysis, Elsevier, vol. 44(1), pages 47-68, January.
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    3. Fan, Jianqing & Masry, Elias, 1992. "Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes," Journal of Multivariate Analysis, Elsevier, vol. 43(2), pages 237-271, November.
    4. Raymond J. Carroll & Aurore Delaigle & Peter Hall, 2007. "Non‐parametric regression estimation from data contaminated by a mixture of Berkson and classical errors," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 69(5), pages 859-878, November.
    5. Anderson, Dale N., 1992. "A multivariate Linnik distribution," Statistics & Probability Letters, Elsevier, vol. 14(4), pages 333-336, July.
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