Multivariate generalised gamma kernel density estimators and application to non-negative data

DOI10.1504/IJCSM.2020.106391MaRDI QIDQ2224422zbMATH OpenFDO

Authors Lynda Harfouche, Nabil Zougab, Smail Adjabi

Publication date 3 February 2021

Published in International Journal of Computing Science and Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/IJCSM.2020.106391

zbMATH Keywords

asymmetric kernelsbandwidthgeneralised gamma kernelsmultiplicative bias correction (MBC)multivariate estimation density

Mathematics Subject Classification ID

Density estimation (62G07)

Review text

Summary: This paper proposes a classical multivariate generalised gamma (GG) kernel estimator for probability density function (pdf) estimation in the context of multivariate nonnegative data. Then, we show that the multiplicative bias correction (MBC) techniques can be applied for multivariate GG kernel density estimator as in [\textit{B. Funke} and \textit{R. Kawka}, Comput. Stat. Data Anal. 92, 148--162 (2015; Zbl 1468.62057)]. Some properties (bias, variance and mean integrated squared error) of the corresponding estimators are also provided. The choice of the vector of bandwidths is investigated by adopting the popular cross-validation technique. Finally, the performances of the classical and MBC estimator based on the family of GG kernels are illustrated by a simulation study and real data.

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• Light- and heavy-tailed density estimation by Gamma-Weibull kernel
• Nonparametric estimation of multivariate density and its derivative by dependent data using gamma kernels
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• Family of the generalised gamma kernels: a generator of asymmetric kernels for nonnegative data
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• Asymmetric kernel method in the study of strong stability of the PH/M/1 queuing system
• Multiple combined gamma kernel estimations for nonnegative data with Bayesian adaptive bandwidths

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