The stochastic approximation method for the estimation of a multivariate probability density

DOI10.1016/J.JSPI.2008.11.012MaRDI QIDQ1015895zbMATH OpenOpenAlexWikidataFDO

Authors Abdelkader Mokkadem, Mariane Pelletier, Yousri Slaoui

Publication date 30 April 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0807.2960

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric tolerance and confidence regions (62G15) Stochastic approximation (62L20)

Abstract: We apply the stochastic approximation method to construct a large class of recursive kernel estimators of a probability density, including the one introduced by Hall and Patil (1994). We study the properties of these estimators and compare them with Rosenblatt's nonrecursive estimator. It turns out that, for pointwise estimation, it is preferable to use the nonrecursive Rosenblatt's kernel estimator rather than any recursive estimator. A contrario, for estimation by confidence intervals, it is better to use a recursive estimator rather than Rosenblatt's estimator.

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