Asymptotic unbiased density estimators

Abstract

This paper introduces a computationally tractable density estimator that has the same asymptotic variance as the classical Nadaraya-Watson density estimator but whose asymptotic bias is zero. We achieve this result using a two stage estimator that applies a multiplicative bias correction to an oversmooth pilot estimator. Simulations show that our asymptotic results are available for samples as low as n = 50, where we see an improvement of as much as 20% over the traditionnal estimator.

Locations

• Springer Link (Chiba Institute of Technology) - View - PDF
• French digital mathematics library (Numdam) - View - PDF
• HAL (Le Centre pour la Communication Scientifique Directe) - View - PDF
• ESAIM Probability and Statistics - View - PDF