Smoothing Bias in Density Derivative Estimation

DOI10.2307/2290774MaRDI QIDQ3142126zbMATH OpenOpenAlexFDO

Authors Thomas M. Stoker

Publication date 2 February 1994

Full work available at URL http://hdl.handle.net/1721.1/2371

zbMATH Keywords

kernel estimatorsnormal densitiesadaptive estimation of regression modelsattenuation biasnormal mixture densitiesdensity estimation by local smoothingderivative biasestimating average derivativesestimation of score vectorsfixed bandwidth limitslocation score vectorsnegative log-density derivativesscore bias

Mathematics Subject Classification ID

Density estimation (62G07)

Recommendations

• Smoothing bias in the measurement of marginal effects
• Estimation of integrated squared density derivatives
• Estimating a density under pointwise constraints on the derivatives
• Density estimates of low bias
• Asymptotic distributions of estimators of the derivative of a density and the score function

Cited in

(7)

• Volatility regressions with fat tails
• Smoothing bias in the measurement of marginal effects
• A limit theorem for a smooth class of semiparametric estimators
• Optimal bandwidth choice for density-weighted averages
• Average derivative estimation from biased data
• Tests against inequality constraints in semiparametric models
• Local likelihood density estimation

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