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Density estimation using bootstrap quantile variance and quantile-mean covariance

Author

Listed:
  • Gabriel Montes Rojas

    (Instituto Interdisciplinario de Economía Política de Buenos Aires - UBA - CONICET)

  • Andrés Sebastián Mena

    (Instituto Superior de Estudios Sociales - CONICET)

Abstract

We propose two novel bootstrap density estimators based on the quantile variance and the quantile-mean covariance. We review previous developments on quantile-density estimation and asymptotic results in the literature that can be applied to this case. We conduct Monte Carlo simulations for dierent data generating processes, sample sizes, and parameters. The estimators perform well in comparison to benchmark nonparametric kernel density estimator. Some of the explored smoothing techniques present lower bias and mean integrated squared errors, which indicates that the proposed estimator is a promising strategy.

Suggested Citation

  • Gabriel Montes Rojas & Andrés Sebastián Mena, 2020. "Density estimation using bootstrap quantile variance and quantile-mean covariance," Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) 2020-50, Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET).
    • Handle: RePEc:ake:iiepdt:202050
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    References listed on IDEAS

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    More about this item

    Keywords

    Density Estimation; Quantile Variance; Quantile-Mean Covariance; Bootstrap;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions

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