An Esseen-type inequality for probability density functions, with an application (Q5933626): Difference between revisions

An upper bound is given for the supremum of the absolute value of the difference of the probability density functions of two \(k\)-dimensional random vectors. The bound, which involves the characteristic functions of the random vectors, is similar to a result of \textit{S.M. Sadikova} [see Sov. Math., Dokl. 8, 1210-1212 (1967; Zbl 0169.49502), Teor. Veroyatn. Primen. 11, 369-380 (1966; Zbl 0202.48503), ibid., 500-506 (1966; Zbl 0202.48803)], who considered distribution functions rather than density functions, in the case \(k=2\). Special cases are considered and the bound is used to investigate the consistency of a kernel estimate.