Minimizing L_ 1 distance in nonparametric density estimation

DOI10.1016/0047-259X(88)90073-5MaRDI QIDQ1120929zbMATH OpenFDO

Authors M. P. Wand, Peter Hall

Publication date 1988

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(88)90073-5

zbMATH Keywords

adaptive algorithmasymptotic optimalitydata-driven estimatorsdensity estimatorsestimatorsfrequency polygonsL1 distancemultivariate histogram estimatorsmultivariate kernelNewton's methodoptimal smoothing parameterssmoothed histogram

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12)

Review text

Dans ce travail les auteurs utilisent le comportement asymptotique ponctuel des estimateurs d'une densité pour construire une expression asymptotique du risque \(L^ 1\). Ils montrent que cette expression est égal à une fonction L qui est croissante et dont le minimum se trouve en résolvant une équation du type \(\Lambda (v)=0\). Cette équation est facilement résolvable par la méthode de Newton. Cette démarche est appliquée à différents estimateurs, en particulier aux estimateurs de noyau pour lesquels on vérifie que le changement du noyau implique seulement une transformation d'échelle pour le minimum. Cela permet de trouver les valeurs optimales, pour le risque \(L^ 1\), des fenêtres d'estimation. Ensuite un estimateur de la fonction L est défini et la valeur qui la minimise permet de trouver des fenêtres adaptatives asymptotiquement optimales presque surement. Le travail s'achève avec un étude numérique des procédures proposées.

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Cited in

(26)

• On the minimization of absolute distance in kernel density estimation
• Asymptotic bounds for the expected L^ 1 error of a multivariate kernel density estimator
• On the almost everywhere properties of the kernel regression estimate
• A universally acceptable smoothing factor for kernel density estimates
• A comparative study of several smoothing methods in density estimation
• How easy is a given density to estimate?
• Universal smoothing factor selection in density estimation: theory and practice. (With discussion)
• Estimation of densities and derivatives of densities with directional data.
• Multifractal diffusion entropy analysis: optimal bin width of probability histograms
• On the non-consistency of the \(L_ 2\)-cross-validated kernel density estimate
• Asymptotic properties of Dirichlet kernel density estimators
• Asymptotics and optimal bandwidth for nonparametric estimation of density level sets
• Interest of boundary kernel density techniques in evaluating an approximation error of queueing systems characteristics
• Minimum quadratic distance density estimation using nonparametric mixtures
• Absolute error criteria for bandwidth selection in density estimation from censored data
• On the effect of density shape on the performance of its kernel estimate
• Bayesian density estimation via dirichlet density processes
• Local bandwidth selection for kernel density estimation from right-censored data based on asymptotic mean absolute error
• An overview of sequential nonparametric density estimation
• An L₁ analysis of a kernel-based hazard rate estimator
• CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA
• Conditional density estimation in measurement error problems
• On the rates of convergence of “minimum l₁-norm” estimates in a partly linear model
• A comparison of automatic histogram constructions
• A nonparametric distribution-free test of independence among continuous random vectors based on L₁-norm
• GARCH option pricing: A semiparametric approach

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