An Esseen-type inequality for probability density functions, with an application (Q5933626)
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scientific article; zbMATH DE number 1599556
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English | An Esseen-type inequality for probability density functions, with an application |
scientific article; zbMATH DE number 1599556 |
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An Esseen-type inequality for probability density functions, with an application (English)
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23 May 2002
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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.
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associated processes
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consistent estimate
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Esseen-type inequality
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Sadikova inequality
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