Nonparametric density estimation based on the scaled Laplace transform inversion

DOI10.1016/J.TRMI.2018.09.003MaRDI QIDQ2317103zbMATH OpenOpenAlexWikidataFDO

Authors Fairouz Elmagbri, Robert Mnatsakanov

Publication date 8 August 2019

Published in Transactions of A. Razmadze Mathematical Institute (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.trmi.2018.09.003

zbMATH Keywords

kernel density estimationLaplace transformmean squared errornonparametric estimation

Mathematics Subject Classification ID

Laplace transform (44A10) Density estimation (62G07)

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Cites work

• Approximation of the ruin probability using the scaled Laplace transform inversion
• Beta kernel estimators for density functions
• Consistency of the beta kernel density function estimator
• Gamma kernel estimators for density and hazard rate of right-censored data
• scientific article; zbMATH DE number 646830 (Why is no real title available?)
• scientific article; zbMATH DE number 947427 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• Local linear density estimation for filtered survival data, with bias correction
• Moment density estimation for positive random variables
• Probability density function estimation using gamma kernels
• Smooth estimators of distribution and density functions
• Smooth optimum kernel estimators near endpoints
• Some asymptotic properties of kernel estimators of a density function in case of censored data
• Some asymptotic results for kernel density estimation under random censorship
• Varying kernel density estimation on \(\mathbb R_+\)

Cited in

(5)

• A model-free, non-parametric method for density determination, with application to asset returns
• A new non parametric estimator for Pdf based on inverse gamma distribution
• Moment density estimation for positive random variables
• scientific article; zbMATH DE number 721765 (Why is no real title available?)
• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions

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