Kernel density estimation with Berkson error

DOI10.1002/CJS.11281MaRDI QIDQ5507351zbMATH OpenOpenAlexFDO

Authors James P. Long, Noureddine El Karoui, John Rice

Publication date 19 December 2016

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1401.3362

zbMATH Keywords

bandwidth selectionBerkson errorkernel density estimationmeasurement errormultivariate density estimation

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to environmental and related topics (62P12)

Abstract: Given a sample ${X_i}_{i=1}^n$ from $f_X$, we construct kernel density estimators for $f_Y$, the convolution of $f_X$ with a known error density $f_{epsilon}$. This problem is known as density estimation with Berkson error and has applications in epidemiology and astronomy. Little is understood about bandwidth selection for Berkson density estimation. We compare three approaches to selecting the bandwidth both asymptotically, using large sample approximations to the MISE, and at finite samples, using simulations. Our results highlight the relationship between the structure of the error $f_{epsilon}$ and the optimal bandwidth. In particular, the results demonstrate the importance of smoothing when the error term $f_{epsilon}$ is concentrated near 0. We propose a data--driven bandwidth estimator and test its performance on NO${}_2$ exposure data.

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Cites work

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Cited in

(1)

• Density deconvolution with small Berkson errors

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