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

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.