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On nonparametric local inference for density estimation

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  • Chan, Ngai-Hang
  • Lee, Thomas C.M.
  • Peng, Liang

Abstract

Bandwidth selection has been an important topic in nonparametric density estimation. In this paper an effective method for local bandwidth selection is proposed. For local bandwidth selection, due to data sparsity and other reasons, extremely small bandwidths are sometimes selected, which lead to severe undersmoothing. To circumvent this difficulty, the main idea behind the proposed method is to choose the largest bandwidth that still achieves the optimal rate. When coupled with practical bias reduction techniques, the bandwidth selected from this method can be applied simultaneously to conduct both local point and interval estimation. Simulation studies demonstrate the effectiveness of the proposed approach, which compares favorably with other existing approaches.

Suggested Citation

  • Chan, Ngai-Hang & Lee, Thomas C.M. & Peng, Liang, 2010. "On nonparametric local inference for density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 509-515, February.
    • Handle: RePEc:eee:csdana:v:54:y:2010:i:2:p:509-515
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    References listed on IDEAS

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    Cited by:

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    2. Adriano Z. Zambom & Ronaldo Dias, 2013. "A Review of Kernel Density Estimation with Applications to Econometrics," International Econometric Review (IER), Econometric Research Association, vol. 5(1), pages 20-42, April.

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