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Asymptotic unbiased density estimators
Published online by Cambridge University Press: 21 February 2009
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.
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- Research Article
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- © EDP Sciences, SMAI, 2009
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